Paulsen, Volkert - In: Stochastic Processes and their Applications 80 (1999) 2, pp. 177-191
Lerchez (Ann. Statist. 14, 1986b, 1030-1048) considered a sequential Bayes-test problem for the drift of the Wiener process. In the case of a normal prior an o(c)-optimal test could be constructed. In this paper a new martingale approach is presented, which provides an expansion of the Bayes...
