2 papers
math.OC2023
The Minimax Wiener Sequential Testing Problem
Philip Ernst, Hongwei Mei
Consider the sample path of a one-dimensional diffusion for which the diffusion coefficient is given and where the drift may take on one of two values: or . Suppose that…
math.PR2023
Quickest Real-Time Detection of Multiple Brownian Drifts
Philip A. Ernst, Hongwei Mei, Goran Peskir
Consider the motion of a Brownian particle in dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservab…