TY - JOUR
T1 - A note on some sequential problems for the equilibrium value of a Vasicek process
AU - Buonaguidi, Bruno
AU - Muliere, Pietro
PY - 2012
Y1 - 2012
N2 - We apply the Shiryaev’s sequential procedures to the Vasicek model. The problems of the sequential testing of two simple hypotheses and of the quickest detection of an abrupt change, both concerning the equilibrium value of the process, are faced. The solutions to these optimal stopping problems coincide with those of the associated free-boundary problems, solved through the principle of the smooth fit.
AB - We apply the Shiryaev’s sequential procedures to the Vasicek model. The problems of the sequential testing of two simple hypotheses and of the quickest detection of an abrupt change, both concerning the equilibrium value of the process, are faced. The solutions to these optimal stopping problems coincide with those of the associated free-boundary problems, solved through the principle of the smooth fit.
KW - Bayesian decision rule, disorder problem, free-boundary problem, optimal stopping, principle of smooth fit, sequential testing, Vasicek process
KW - Bayesian decision rule, disorder problem, free-boundary problem, optimal stopping, principle of smooth fit, sequential testing, Vasicek process
UR - http://hdl.handle.net/10807/184601
UR - http://www.pspchv.com/pioneer_journal_of_theoretical_and_applied_statistics_pjtas.html
M3 - Article
SN - 2230-9837
VL - 2012 / 4
SP - 101
EP - 116
JO - PIONEER JOURNAL OF THEORETICAL AND APPLIED STATISTICS
JF - PIONEER JOURNAL OF THEORETICAL AND APPLIED STATISTICS
ER -