Belomestny, Denis; Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
, Asian option, Russian option,
Bayesian sequential testing problem, disorder detection problem.
1 … Wiener sequential testing problem with flnite horizon
[29; Chapter IV, Section 3], [6]). Suppose that in (2.2) we have G … (627{629).
[6] Gapeev, P. V. and Peskir, G. (2004). The Wiener sequential testing
problem with flnite horizon. Stochastics …
