# Abstract:

Let n independent Wiener processes be given. The authors assume the following information is known about these processes one process has drift mu t, the remaining n - 1 processes have drift zero, all n processes have common variance sigma squared t, and we assume a prior probability distribution over the n processes is given to identify the process with drift mu t. A searcher is permitted to observe the increments of one process at a time with the object of identifying with probability 1 - epsilon of correct selection the process with drift mu t. The authors define a natural class of search strategies and show that the strategy within this class which minimizes the total search time is the strategy which, whenever possible, searches the process which currently has the largest posterior proabability of being the one with drift mu t. Author

# Subject Categories:

• Statistics and Probability
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