Question: 8.4.4 A Brownian motion X.t/ either (1) has drift D 0, or (2) has drift D 1, where 0 < 1 are known

8.4.4 A Brownian motion X.t/ either (1) has drift D 0, or (2) has drift D 1, where 0 < 1 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 and .

Hint: Base your decision on the process X0.t/ D X.t/???? 12

.0 C1/.

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