2 papers
math.PR2025
A Bayesian sequential soft classification problem for a Brownian motion's drift
Steven Campbell, Yuchong Zhang
In this note we introduce and solve a soft classification version of the famous Bayesian sequential testing problem for a Brownian motion's drift. We establish that the value funct…
math.OC2024
A Mean Field Game of Sequential Testing
Steven Campbell, Yuchong Zhang
We introduce a mean field game for a family of filtering problems related to the classic sequential testing of the drift of a Brownian motion. To the best of our knowledge this wor…