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arXiv · 2009.02226

Multi-dimensional sequential testing and detection

Erik Ekström·Yuqiong Wang
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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.

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Erik Ekström, Yuqiong Wang. 2020-09-04. Multi-dimensional sequential testing and detection. https://doi.org/10.1080/17442508.2021.1993852

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