Minimising the time to a decision
Jacka, Saul D., Warren, Jon and Windridge, Peter (2011) Minimising the time to a decision. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2011 (No.5).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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|
|Institution:||University of Warwick|
|Status:||Not Peer Reviewed|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.|
 R. Cairoli and R. C. Dalang. Sequential stochastic optimization. Wiley Series in
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