On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
DOI10.1214/21-ECP441zbMath1496.60035OpenAlexW4206172116WikidataQ115517663 ScholiaQ115517663MaRDI QIDQ2078229
Publication date: 28 February 2022
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/21-ecp441
Bessel processBrownian motiondimension reductionoptimal stopping problemdiffusion process.quickest change-point (disorder) detection problem
Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)
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