Multi-dimensional sequential testing and detection
Probability
2021-10-28 v1
Abstract
We study extensions to higher dimensions of the classical Bayesian sequential testing and detection problems for Brownian motion. In the main result we show that, for a large class of problem formulations, the cost function is unilaterally concave. This concavity result is then used to deduce structural properties for the continuation and stopping regions in specific examples.
Cite
@article{arxiv.2009.02226,
title = {Multi-dimensional sequential testing and detection},
author = {Erik Ekström and Yuqiong Wang},
journal= {arXiv preprint arXiv:2009.02226},
year = {2021}
}