A problem of the fastest detection of regime changing for Levy processes

DOI10.3103/S0027132209020107zbMath1304.60056MaRDI QIDQ2513065

F. A. Ustinov

Publication date: 2 February 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian problems; characterization of Bayes procedures (62C10) Optimal stopping in statistics (62L15)

Cites Work

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• Disorder problem for a Poisson process in the generalized Bayesian setting
• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings

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