Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder

DOI10.3103/S0027132215030018zbMath1334.60176OpenAlexW1200343090MaRDI QIDQ253943

A. A. Sokko

Publication date: 8 March 2016

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

Full work available at URL: https://doi.org/10.3103/s0027132215030018

zbMATH Keywords

Brownian motionintegral equationsdisorderoptimal stopping problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Compound Poisson disorder problem with uniformly distributed disorder time

Cites Work

• The Wiener disorder problem with finite horizon
• A change-of-variable formula with local time on curves
• On some exponential functionals of Brownian motion
• A remark on the quickest detection problems
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