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- W2004663025 abstract "We study the connection between the martingale and free-boundary approaches in sequential detection problems for the drift of a Brownian motion, under the assumption of exponential penalty for the delay. By means of the solution of a suitable free-boundary problem, we show that the reward process can be decomposed into the product between a gain function of the boundary point and a positive martingale inside the continuation region." @default.
- W2004663025 created "2016-06-24" @default.
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- W2004663025 date "2014-02-24" @default.
- W2004663025 modified "2023-09-27" @default.
- W2004663025 title "On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay" @default.
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- W2004663025 doi "https://doi.org/10.1080/17442508.2013.865132" @default.
- W2004663025 hasPublicationYear "2014" @default.
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