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Teoriya Veroyatnostei i ee Primeneniya, 2012, Volume 57, Issue 4, Pages 778–788
DOI: https://doi.org/10.4213/tvp4480 (Mi tvp4480) 		 
This article is cited in 11 scientific papers (total in 11 papers)

Short Communications

On Chernoff’s hypotheses testing problem for the drift of a Brownian motion

M. V. Zhitlukhin, A. A. Muravlev

Steklov Mathematical Institute of the Russian Academy of Sciences
Full-text PDF (202 kB) Citations (11)
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DOI: https://doi.org/10.4213/tvp4480
Abstract: This paper contains detailed exposition of the results presented in the short communication [M. V. Zhitlukhin and A. A. Muravlev, Russian Math. Surveys, 66 (2011), pp. 1012–1013]. We consider Chernoff’s problem of sequential testing of two hypotheses about the sign of the drift of a Brownian motion under the assumption that it is normally distributed. We obtain an integral equation which characterizes the optimal decision rule and find its solution numerically.
Keywords: Chernoff’s problem; sequential hypotheses testing; optimal stopping problem; integral equations.
Funding agency Grant number
Ministry of Education and Science of the Russian Federation 11.G34.31.0073
14.740.11.1144
Russian Foundation for Basic Research 12-01-31449-ìîë à
Received: 07.08.2012
English version:
Theory of Probability and its Applications, 2013, Volume 57, Issue 4, Pages 708–717
DOI: https://doi.org/10.1137/S0040585X97986266
Bibliographic databases:
Document Type: Article
MSC: 60
Language: Russian
Citation: M. V. Zhitlukhin, A. A. Muravlev, “On Chernoff’s hypotheses testing problem for the drift of a Brownian motion”, Teor. Veroyatnost. i Primenen., 57:4 (2012), 778–788; Theory Probab. Appl., 57:4 (2013), 708–717
Citation in format AMSBIB
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    • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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