A dynamic sampling approach for detecting a change in distribution (Q1111290)
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scientific article; zbMATH DE number 4076378
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dynamic sampling approach for detecting a change in distribution |
scientific article; zbMATH DE number 4076378 |
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A dynamic sampling approach for detecting a change in distribution (English)
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1988
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The author considers the problem of detecting a change in the drift of Brownian motion where the time of change is unknown but is assumed to have a known exponential distribution. Additionally to the problem of finding an optimal stopping rule for declaring a change, the option of continuously controlling the sampling rate is treated and solved in the framework of stochastic control theory.
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expected delay
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probability of false alarm
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diffusion process
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dynamic sampling
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detecting a change
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drift of Brownian motion
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exponential distribution
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