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METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20210507T094337Z
DTSTART:20210512T140000Z
DTEND:20210512T150000Z
SUMMARY:Bruno Buonaguidi - An optimal sequential procedure for determin
ing the drift of a Brownian motion among three values
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}g1p-koe4s6a
c-wz8cfc
DESCRIPTION:Bruno Buonaguidi (Università Cattolica del Sacro Cuore) will
speak in the Probability seminar. \n\nConsider the motion of a Brownian
particle in one dimension\, having a random and unobservable drift which
can take one of three known values. Given that we monitor the position
of the Brownian particle in real time\, the problem is to determine as s
oon as possible and with minimal probabilities of the wrong terminal dec
isions\, which value the drift has taken. We derive the exact solution t
o the problem in the Bayesian formulation\, under any prior probability
distribution on the three values that the drift can assume\, when the pa
ssage of time is penalized linearly. Unlike most of the sequential testi
ng problems analyzed to date\, the optimal stopping boundaries of the pr
esent problem are non-monotone.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:https://zoom.us/j/97503384128
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