Infinitesimal generators for two-dimensional L\'evy process-driven hypothesis testing

Michael Roberts and Indranil SenGupta

Papers from arXiv.org

Abstract: In this paper, we present the testing of four hypotheses on two streams of observations that are driven by L\'evy processes. This is applicable for sequential decision making on the state of two-sensor systems. In one case, each sensor receives or does not receive a signal obstructed by noise. In another, each sensor receives data-driven by L\'evy processes with large or small jumps. In either case, these give rise to four possibilities. Infinitesimal generators are presented and analyzed. Bounds for infinitesimal generators in terms of \emph{super-solutions} and \emph{sub-solutions} are computed. An application of this procedure for the stochastic model is also presented in relation to the financial market.

Date: 2019-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Annals of Finance, 2020

Downloads: (external link)
http://arxiv.org/pdf/1911.08412 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.08412

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().