Detecting the presence of a random drift in Brownian motion
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DOI: 10.1016/j.spa.2021.05.006
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Cited by:
- Buonaguidi, B., 2023. "An optimal sequential procedure for determining the drift of a Brownian motion among three values," Stochastic Processes and their Applications, Elsevier, vol. 159(C), pages 320-349.
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Keywords
Sequential testing; Brownian motion; Random drift; Optimal stopping; Parabolic partial differential equation; Free-boundary problem;All these keywords.
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