A CONTINUOUS-TIME DISTRIBUTED VERSION OF WALD'S SEQUENTIAL HYPOTHESIS TESTING PROBLEM

This paper discusses a distributed version of Wald’s sequential hypothesis testing problem in the continuous time framework. For sake of concreteness, two decision-makers equipped with their own sensors, are faced with the following hypothesis testing problem: Decide between hypothesis H 0 and H 1, where with μ i ≠ 0 and σ i ≠ 0, i = 1, 2, non-random; here the noises {W t 1 , t ≥ 0} and {W t 2 , t ≥ 0} are independent Brownian motions.