Peskir, Goran - In: Stochastic Processes and their Applications 122 (2012) 5, pp. 2249-2263
We show that in the absence of any information about the ‘hidden’ target in terms of the observed sample path, and irrespectively of the distribution law of the observed process, the ‘median’ rule is optimal in both the space domain and the time domain. While the fact that the median...