Abstract
Abstract We study tests of power one for the following change-point problem. Suppose one observes a process 𝑊 which is either a Brownian motion without drift or a Brownian motion that has zero drift up to a random time τ after which with equal probability the drift becomes either θ or –θ, where the value of θ > 0 is known. The distribution of τ is also assumed to be known. We search for a stopping time 𝑇* that minimizes an appropriate Bayes risk and give a solution that is asymptotically optimal, when the cost of observation tends to zero.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
