A note on some sequential problems for the equilibrium value of a Vasicek process

Bruno Buonaguidi; Pietro Muliere

A note on some sequential problems for the equilibrium value of a Vasicek process

Bruno Buonaguidi^*
, Pietro Muliere

^*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivista › Articolo

Abstract

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.

Lingua originale	Inglese
pagine (da-a)	101-116
Numero di pagine	16
Rivista	PIONEER JOURNAL OF THEORETICAL AND APPLIED STATISTICS
Volume	2012 / 4
Stato di pubblicazione	Pubblicato - 2012

Keywords

Bayesian decision rule, disorder problem, free-boundary problem, optimal stopping, principle of smooth fit, sequential testing, Vasicek process

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abstract = "We apply the Shiryaev{\textquoteright}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.",

keywords = "Bayesian decision rule, disorder problem, free-boundary problem, optimal stopping, principle of smooth fit, sequential testing, Vasicek process, Bayesian decision rule, disorder problem, free-boundary problem, optimal stopping, principle of smooth fit, sequential testing, Vasicek process",

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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.

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JO - PIONEER JOURNAL OF THEORETICAL AND APPLIED STATISTICS

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A note on some sequential problems for the equilibrium value of a Vasicek process

Abstract

Keywords

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