Question: 4.4. A Brownian motion X(t) either (i) has drift = 0i or (ii) has drift = ,, where . < , are known

4.4. A Brownian motion X(t) either (i) has drift μ = μ0i or (ii) has drift

μ = μ,, where μ.° < μ, are known constants. It is desired to determine which is the case by observing the process. Derive a sequential decision procedure that meets prespecified error probabilities a and 0. Hint: Base your decision on the process X'(t) = X(t) - ;(μo + μ,).

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