TY - JOUR
T1 - On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay
AU - Buonaguidi, B.
AU - Buonaguidi, Bruno
AU - Muliere, P.
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
KW - Modeling and Simulation
KW - Statistics and Probability
KW - free-boundary problem
KW - martingale approach of Beibel
KW - optimal stopping
KW - sequential detection and disorder problems
KW - Modeling and Simulation
KW - Statistics and Probability
KW - free-boundary problem
KW - martingale approach of Beibel
KW - optimal stopping
KW - sequential detection and disorder problems
UR - http://hdl.handle.net/10807/133712
UR - http://www.tandf.co.uk/journals/titles/17442508.asp
U2 - 10.1080/17442508.2013.865132
DO - 10.1080/17442508.2013.865132
M3 - Article
SN - 1744-2508
VL - 86
SP - 865
EP - 869
JO - Stochastics
JF - Stochastics
ER -