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Minimizing the time to a decision

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Jacka, Saul D., Warren, Jon and Windridge, Peter (2011) Minimizing the time to a decision. Annals of Applied Probability, Vol.21 (No.5). pp. 1795-1826. doi:10.1214/10-AAP737

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Official URL: http://dx.doi.org/10.1214/10-AAP737

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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 minimizing the total time spent running the processes.

Item Type:

Journal Article

Subjects:

Q Science > QA Mathematics

Divisions:

Faculty of Science, Engineering and Medicine > Science > Statistics

Library of Congress Subject Headings (LCSH):

Diffusion processes, Decision making

Journal or Publication Title:

Annals of Applied Probability

Publisher:

Institute of Mathematical Statistics

ISSN:

1050-5164

Official Date:

October 2011

Dates:

Date	Event
October 2011	Published

Volume:

Vol.21

Number:

No.5

Page Range:

pp. 1795-1826

DOI:

10.1214/10-AAP737

Status:

Peer Reviewed

Publication Status:

Published

Access rights to Published version:

Restricted or Subscription Access

Version or Related Resource:

Earlier version: Jacka, S., Warren, J. and Windridge, P. (2011). Minimising the time to a decision. [Coventry] : University of Warwick, Centre for Research in Statistical Methodology. (Working papers, no.11-05).

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