On hypoellipticity of degenerate operators in testing and detection problems

2025/10/25 by Bayraktar, Erhan, Wang, Yuqiong
#60G40 #62L15 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2510.22150

Abstract

We study a class of degenerate diffusion generators that arise in sequential testing and quickest detection problems with partial information. The observation process is driven by k independent Brownian motions, while the hidden state takes n+1 values with k

Citations

• Grab It Before It's Gone: Testing Uncertain Rewards under a Stochastic Deadline
• Quickest Real-Time Detection of Multiple Brownian Drifts
• Bayesian sequential testing of the drift of a Brownian motion
• Byzantine Fault Tolerant Distributed Quickest Change Detection
• Quickest Search over Brownian Channels
• Sequential Tracking of a Hidden Markov Chain Using Point Process Observations

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