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Regular version of the site

Article

The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion

Russian Mathematical Surveys. 2013. Vol. 68. No. 2. P. 389-394.
Zhitlukhin M., Муравлев А. А., Shiryaev A.
Translator: M. Zhitlukhin, А. А. Муравлев, A. Shiryaev.

We find the exact optimal decision rule in the problem of testing two hypotheses about the drift of a Brownian motion in the setting of Kiefer and Weiss.