3 papers
math.OC2025
A Sequential Testing Problem with Signal Control
Steven Campbell, Georgy Gaitsgori, Richard Groenewald
We study a controlled version of the Bayesian sequential testing problem for the drift of a Wiener process, in which the observer exercises discretion over the signal intensity. Th…
math.PR2025
A Dynkin Game with Independent Processes and Incomplete Information
Georgy Gaitsgori, Richard Groenewald
We analyze a two-player, nonzero-sum Dynkin game of stopping with incomplete information. We assume that each player observes his own Brownian motion, which is not only independent…
math.PR2025
Grab It Before It's Gone: Testing Uncertain Rewards under a Stochastic Deadline
Steven Campbell, Georgy Gaitsgori, Richard Groenewald +1
We study a sequential estimation problem for an unknown reward in the presence of a random horizon. The reward takes one of two predetermined values that can be inferred from the d…