论文标题
布朗运动漂移的顺序测试，有可能改变决策
A sequential test for the drift of a Brownian motion with a possibility to change a decision
论文作者
论文摘要
我们对两个简单的假设构建了贝叶斯顺序测试，涉及布朗运动的不可观察的漂移系数的值，并有可能在随后的时间时刻更改初始决策以进行一些惩罚。这样的测试过程允许如果事实证明是错误的，则可以纠正初始决定。该测试基于对后平均过程的观察，并做出初始决策，并且可能在此过程越过某些阈值时进行更改。通过将问题减少到接头最佳停止和最佳切换问题来获得问题的解决方案。
We construct a Bayesian sequential test of two simple hypotheses about the value of the unobservable drift coefficient of a Brownian motion, with a possibility to change the initial decision at subsequent moments of time for some penalty. Such a testing procedure allows to correct the initial decision if it turns out to be wrong. The test is based on observation of the posterior mean process and makes the initial decision and, possibly, changes it later, when this process crosses certain thresholds. The solution of the problem is obtained by reducing it to joint optimal stopping and optimal switching problems.
