Sequential testing problems for Poisson processes

We present the explicit solution of the Bayesian problem of sequential testing of two simple hypotheses about the intensity of an observed Poisson process

A. N. Shiryaev

2002

Scholarcy highlights

  • The disorder problem for compound Poisson processes with exponential jumpsGapeev, Pavel V., Annals of Applied Probability, 2005
  • We present the explicit solution of the Bayesian problem of sequential testing of two simple hypotheses about the intensity of an observed Poisson process
  • The method of proof consists of reducing the initial problem to a free-boundary differential-difference Stephan problem and solving the latter by use of the principles of smooth and continuous fit

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