The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria

DOI10.1016/j.spl.2022.109548zbMath1498.60158OpenAlexW4282036648WikidataQ113863755 ScholiaQ113863755MaRDI QIDQ2170226

Bruno Buonaguidi

Publication date: 30 August 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109548

zbMATH Keywords

optimal stoppingdiffusion processesBessel process and Brownian motionchange-point/disorder problemepsilon-linear and expected total miss criteria

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

Cites Work

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