The Gapeev-Shiryaev Conjecture

The Gapeev-Shiryaev conjecture (originating in Gapeev and Shiryaev (2011) and Gapeev and Shiryaev (2013)) can be broadly stated as follows: Monotonicity of the signal-to-noise ratio implies monotonicity of the optimal stopping boundaries. The conjecture was originally formulated both within (i) sequential testing problems for diffusion processes (where one needs to... Show more