Detecting the presence of a random drift in Brownian motion
| العنوان: | Detecting the presence of a random drift in Brownian motion |
|---|---|
| المؤلفون: | P. Johnson, Jesper Pedersen, Goran Peskir, Cristina Zucca |
| سنة النشر: | 2022 |
| مصطلحات موضوعية: | Statistics and Probability, Sequential testing, Motion (geometry), 01 natural sciences, 010104 statistics & probability, symbols.namesake, Dimension (vector space), Wiener process, Random drift, Prior probability, Optimal stopping, Statistical physics, 0101 mathematics, Brownian motion, Mathematics, Parabolic partial differential equation, Applied Mathematics, 010102 general mathematics, Zero drift, Free-boundary problem, Terminal (electronics), Modeling and Simulation, symbols |
| الوصف: | Consider a standard Brownian motion in one dimension, having either a zero drift, or a non-zero drift that is randomly distributed according to a known probability law. Following the motion in real time, the problem is to detect as soon as possible and with minimal probabilities of the wrong terminal decisions, whether a non-zero drift is present in the observed motion. We solve this problem for a class of admissible laws in the Bayesian formulation, under any prior probability of the non-zero drift being present in the motion, when the passage of time is penalised linearly. |
| اللغة: | English |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22fdae806e7fbfb37b4cd783633df1fa https://hdl.handle.net/2318/1847650 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....22fdae806e7fbfb37b4cd783633df1fa |
| قاعدة البيانات: | OpenAIRE |
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