IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v80y1999i2p177-191.html
   My bibliography  Save this article

A martingale approach for detecting the drift of a Wiener process

Author

Listed:
  • Paulsen, Volkert

Abstract

Lerchez (Ann. Statist. 14, 1986b, 1030-1048) considered a sequential Bayes-test problem for the drift of the Wiener process. In the case of a normal prior an o(c)-optimal test could be constructed. In this paper a new martingale approach is presented, which provides an expansion of the Bayes risk for a one-sided SPRT. Relations to the optimal Bayes risk are given, which show the o(c)-optimality for suitable nonnormal priors.

Suggested Citation

  • Paulsen, Volkert, 1999. "A martingale approach for detecting the drift of a Wiener process," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 177-191, April.
    • Handle: RePEc:eee:spapps:v:80:y:1999:i:2:p:177-191
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(98)00071-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Alsmeyer, G. & Irle, A., 1986. "Asymptotic expansions for the variance of stopping times in nonlinear renewal theory," Stochastic Processes and their Applications, Elsevier, vol. 23(2), pages 235-258, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:80:y:1999:i:2:p:177-191. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.