The disorder problem for compound Poisson processes with exponential jumps

DOI10.1214/105051604000000981zbMath1068.60062arXivmath/0503481OpenAlexW3103335233MaRDI QIDQ1774227

Pavel V. Gapeev

Publication date: 29 April 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503481

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

• Probabilistic-statistical methods of detecting spontaneously occurring effects
• Optimal stopping for a diffusion with jumps
• On Optimum Methods in Quickest Detection Problems
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