关键词: 停时, 拟左连续性, 可料投影, Bayes判决法则

Abstract: The problem of Bayes sequential decision rules to hypothesis testing is often reduced to the problem of optimal stopping. In continuous time situation, the existence of Bayes solution is proved by using the general stochastic process theory. In distinguishing among two exponential distributions, the Bayes solutions are found out in different situations as an example, which also shows that the uniqueness of solution does not hold in general.

Key words: stopping time, quasi-left continuity, predictable projection, Bayes decision rule