QUICKEST DETECTION PROBLEMS FOR BESSEL PROCESSES

Johnson, P; Peskir, G

Johnson, P (reprint author), Univ Manchester, Sch Math, Oxford Rd, Manchester M13 9PL, Lancs, England.

ANNALS OF APPLIED PROBABILITY, 2017; 27 (2): 1003

Abstract

Consider the motion of a Brownian particle that initially takes place in a two-dimensional plane and then after some random/unobservable time continue......

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