Sequential testing problems for Bessel processes

Johnson, Peter; Peskir, Goran

doi:10.1090/tran/7068

Sequential testing problems for Bessel processes
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by Peter Johnson and Goran Peskir PDF

Trans. Amer. Math. Soc. 370 (2018), 2085-2113

Abstract:

Consider the motion of a Brownian particle that takes place either in a two-dimensional plane or in three-dimensional space. Given that only the distance of the particle to the origin is being observed, the problem is to detect the true dimension as soon as possible and with minimal probabilities of the wrong terminal decisions. We solve this problem in the Bayesian formulation under any prior probability of the true dimension when the passage of time is penalised linearly.

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