Quickest detection problems for Bessel processes

DOI10.1214/16-AAP1223zbMath1370.60135OpenAlexW2586863162MaRDI QIDQ2013577

Yanyan Li

Publication date: 8 August 2017

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

Full work available at URL: https://projecteuclid.org/euclid.aoap/1495764373

zbMATH Keywords

Bessel processoptimal stoppingBrownian motionfree-boundary problemsmooth fitentrance boundaryparabolic partial differential equationquickest detectionnonlinear Fredholm integral equation

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Singular parabolic equations (35K67)

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