Minimising the time to a decision
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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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|
|Status:||Not Peer Reviewed|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.|
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