A continuous-time sequential testing problem

Abstract

A Bayesian testing problem for a simple hypothesis against a simple alternative is considered. However the observations on which the test is based are not immediately available, but occur at n i.i.d. random times. Assuming linear cost of time until a decision the task is to construct and to characterize an optimal stopping strategy for a time-sequential testing problem and to compute the Bayes risk. The paper provides a solution to this problem. © 1990, Physica-Verlag Ges.m.b.H. All rights reserved.