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Hypothesis testing and Skorokhod stochastic integration

Part of: Markov processes Special processes Parametric inference Stochastic analysis

Published online by Cambridge University Press:  14 July 2016

Nicolas Privault
Nicolas Privault*
Affiliation:
Université de La Rochelle
*
∗Postal address: Département de Mathématiques, Université de La Rochelle, Avenue Marillac, 17042 La Rochelle Cedex 1, France. Email address: [email protected]
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Abstract

We define a class of anticipative flows on Poisson space and compute its Radon-Nikodym derivative. This result is applied to statistical testing in an anticipative queueing problem.

Keywords

Hypothesis testingqueueing theorySkorokhod integralpoint processes

MSC classification

Primary: 62F03: Hypothesis testing 60H07: Stochastic calculus of variations and the Malliavin calculus
Secondary: 60K25: Queueing theory 60J75: Jump processes
Type
Research Papers
Information
Journal of Applied Probability , Volume 37 , Issue 2 , June 2000 , pp. 560 - 574
Copyright
Copyright © by the Applied Probability Trust 2000 

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