A quickest detection problem with an observation cost

DOI10.1214/14-AAP1028zbMath1326.60052arXiv1505.07612OpenAlexW2951219477MaRDI QIDQ2346078

Robert C. Dalang, Albert N. Shiryaev

Publication date: 29 May 2015

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

Full work available at URL: https://arxiv.org/abs/1505.07612

zbMATH Keywords

free boundary problemstochastic controldisorder problemquickest detection problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Detection theory in information and communication theory (94A13)

Related Items (2)

Disorder detection with costly observations ⋮ A sequential estimation problem with control and discretionary stopping

Cites Work

• On the one-sided tanaka equation with drift
• Sequential testing problems for Poisson processes.
• Wiener Disorder Problem with Observations at Fixed Discrete Time Epochs
• On a quickest detection problem with costly information
• On a quickest detection problem with variable monitoring
• Quickest Detection with Discretely Controlled Observations
• Data-Efficient Quickest Change Detection in Minimax Settings
• Data-Efficient Quickest Change Detection with On–Off Observation Control
• Applied stochastic control of jump diffusions
• Stochastic differential equations. An introduction with applications.
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