On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay

Bruno Buonaguidi, B. Buonaguidi, P. Muliere

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

We study the connection between the martingale and free-boundary approaches in sequential detection problems for the drift of a Brownian motion, under the assumption of exponential penalty for the delay. By means of the solution of a suitable free-boundary problem, we show that the reward process can be decomposed into the product between a gain function of the boundary point and a positive martingale inside the continuation region.
Original languageEnglish
Pages (from-to)865-869
Number of pages5
JournalStochastics
Volume86
DOIs
Publication statusPublished - 2014

Keywords

  • Modeling and Simulation
  • Statistics and Probability
  • free-boundary problem
  • martingale approach of Beibel
  • optimal stopping
  • sequential detection and disorder problems

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