Accession Number : ADA190322

Title :   Sequential Tests for the Drift of a Wiener Process with a Smooth Prior, and the Heat Equation.

Descriptive Note : Technical rept.,

Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s) : Simon, Gordon ; Yao, Yi-Ching ; Wu, Xizhi

PDF Url : ADA190322

Report Date : Oct 1987

Pagination or Media Count : 18

Abstract : Methods are described which permit one to work with continuous-time optimal stopping problems, using the heat equation, even when the prior placed on the drift parameter of a Wiener process is not normal. The details of the method are worked out for Chernoff's problem of testing the sign of the drift parameter when the prior is smooth. Keywords: Sequential Bayes; Heat equation; Brownian motion; Asymptotic; Free boundary problems.

Descriptors :   *BOUNDARY VALUE PROBLEMS, *BROWNIAN MOTION, *HEAT, BAYES THEOREM, DRIFT, EQUATIONS, SEQUENCES, SEQUENTIAL ANALYSIS, STATISTICAL TESTS, TEST AND EVALUATION

Subject Categories : Numerical Mathematics

Distribution Statement : APPROVED FOR PUBLIC RELEASE