Optimal speed of detection in generalized Wiener disorder problems.
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Publication:1765992
DOI10.1016/S0304-4149(01)00098-9zbMath1059.60055OpenAlexW2113386740MaRDI QIDQ1765992
J. M. C. Clark, Michel H. Vellekoop
Publication date: 25 February 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00098-9
Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (2)
Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise ⋮ Detection of disorder before an observable event
Cites Work
- A diffusion process and its applications to detecting a change in the drift of Brownian motion
- Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
- An invariance principle for the law of the iterated logarithm
- On Optimum Methods in Quickest Detection Problems
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