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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
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Original Articles

On the sequential testing problem for some diffusion processes

Pavel V. Gapeev Department of Mathematics, London School of Economics, Houghton Street, London, WC2A 2AE, UKCorrespondence[email protected]
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Albert N. Shiryaev Steklov Institute of Mathematics, Russian Academy of Sciences, Gubkina Street 8, Moscow, 119991, RussiaView further author information
Pages 519-535 | Received 30 Nov 2009, Accepted 05 Oct 2010, Published online: 10 Oct 2011

Citations (22)

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Read on this site (6)

Pavel V. Gapeev. (2022) Discounted optimal stopping problems in continuous hidden Markov models. Stochastics 94:3, pages 335-364.
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Pavel V. Gapeev & Yavor I. Stoev. (2017) On the sequential testing and quickest change-point detection problems for Gaussian processes. Stochastics 89:8, pages 1143-1165.
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B. Buonaguidi & P. Muliere. (2016) Bayesian sequential testing for Lévy processes with diffusion and jump components. Stochastics 88:7, pages 1099-1113.
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Bruno Buonaguidi & Pietro Muliere. (2016) Optimal sequential testing for an inverse Gaussian process. Sequential Analysis 35:1, pages 69-83.
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Bruno Buonaguidi & Pietro Muliere. (2013) On the Wald's Sequential Probability Ratio Test for Lévy Processes. Sequential Analysis 32:3, pages 267-287.
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Bruno Buonaguidi & Pietro Muliere. (2013) Sequential Testing Problems for Lévy Processes. Sequential Analysis 32:1, pages 47-70.
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Articles from other publishers (16)

Erik Ekström & Yuqiong Wang. (2023) Stopping problems with an unknown state. Journal of Applied Probability, pages 1-14.
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B. Buonaguidi. (2023) An optimal sequential procedure for determining the drift of a Brownian motion among three values. Stochastic Processes and their Applications 159, pages 320-349.
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P. Johnson, J.L. Pedersen, G. Peskir & C. Zucca. (2022) Detecting the presence of a random drift in Brownian motion. Stochastic Processes and their Applications 150, pages 1068-1090.
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Tiziano De Angelis, Fabien Gensbittel & Stephane Villeneuve. (2021) A Dynkin Game on Assets with Incomplete Information on the Return. Mathematics of Operations Research 46:1, pages 28-60.
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Pavel V. Gapeev. (2020) On the problems of sequential statistical inference for Wiener processes with delayed observations. Statistical Papers 61:4, pages 1529-1544.
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P. A. Ernst, G. Peskir & Q. Zhou. (2020) Optimal real-time detection of a drifting Brownian coordinate. The Annals of Applied Probability 30:3.
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Peter Johnson & Goran Peskir. (2017) Sequential testing problems for Bessel processes. Transactions of the American Mathematical Society 370:3, pages 2085-2113.
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PAVEL V. GAPEEV, OLIVER BROCKHAUS & MATHIEU DUBOIS. (2018) ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY. International Journal of Theoretical and Applied Finance 21:01, pages 1850001.
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P. Johnson, J. Moriarty & G. Peskir. (2017) Detecting changes in real-time data: a user’s guide to optimal detection. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 375:2100, pages 20160298.
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Pavel V. Gapeev. (2016) Bayesian Switching Multiple Disorder Problems. Mathematics of Operations Research 41:3, pages 1108-1124.
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Sören Christensen & Albrecht Irle. 2016. Stochastic Processes and Models in Operations Research. Stochastic Processes and Models in Operations Research 218 229 .
Asaf Cohen. (2015) Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise. Mathematics of Operations Research 40:2, pages 361-389.
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Pavel V. Gapeev & Albert N. Shiryaev. (2016) Bayesian Quickest Detection Problems for Some Diffusion Processes. Advances in Applied Probability 45:1, pages 164-185.
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Pavel V. Gapeev & Albert N. Shiryaev. (2016) Bayesian Quickest Detection Problems for Some Diffusion Processes. Advances in Applied Probability 45:01, pages 164-185.
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PAVEL V. GAPEEV. (2012) PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION. International Journal of Theoretical and Applied Finance 15:01, pages 1250010.
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Pavel V. Gapeev. (2010) Pricing of Perpetual American Options in a Model with Partial Information. SSRN Electronic Journal.
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