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International conference "Stochastic Optimization and Optimal Stopping"
September 24, 2012 13:10, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


On a structure of a minimax test in testing composite hypotheses

Alexander Gushchin

Steklov Mathematical Institute of the Russian Academy of Sciences

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Alexander Gushchin
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Abstract: Krafft and Witting (1967) suggested a dual optimization problem whose solution allows us to characterize a minimax test in testing composite hypotheses. An important contribution to this problem was done by Cvitanic and Karatzas (2001). In this talk we propose weaker conditions under which it is possible to characterize a minimax test through a solution of a slightly different dual problem.

Language: English

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