Hypothesis testing and Skorokhod stochastic integration

 

Nicolas Privault
Université de la Rochelle
Avenue Marillac
17042 La Rochelle Cedex 1
France

 

Abstract:

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

Key words: Hypothesis testing, Queuing theory, Skorokhod integral, Point processes.
Mathematics Subject Classification (1991): 60K25, 62F03, 60H07, 60J75.

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