Jacka, Saul D., Warren, Jon and Windridge, Peter (2011) Minimising the time to a decision. Working Paper. University of Warwick. Centre for Research in Statistical Methodology, Coventry.

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Abstract

Suppose we have three independent copies of a regular diffusion on [0,1] with absorbing boundaries. Of these diffusions, either at least two are absorbed at the upper boundary or at least two at the lower boundary. In this way, they determine a majority decision between 0 and 1. We show that the strategy that always runs the diffusion whose value is currently between the other two reveals the majority decision whilst minimising the total time spent running the processes.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Stochastic control theory, Statistical decision
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Date:	2011
Volume:	Vol.2011
Number:	No.5
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Adapted As:	Jacka, S., Warren, J. and Windridge, P. (2011). Minimising the time to a decision. Annals of Applied Probability, 21(5), pp. 1795-1826.
Related URLs:	Related item in WRAP
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URI:	http://wrap.warwick.ac.uk/id/eprint/34874

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