Quickest real-time detection of a Brownian coordinate drift
DOI10.1214/21-AAP1742zbMath1499.60129arXiv2007.14786OpenAlexW3045713667MaRDI QIDQ2083260
Publication date: 10 October 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.14786
optimal stoppingBrownian motionfree-boundary problemsmooth fitelliptic partial differential equationquickest detectionnonlinear Fredholm integral equationthe change-of-variable formula with local time on surfaces
Bayesian problems; characterization of Bayes procedures (62C10) Other nonlinear integral equations (45G10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Second-order elliptic equations (35J15)
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