On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay

DOI10.1080/17442508.2013.865132zbMath1337.60069OpenAlexW2004663025MaRDI QIDQ2811111

Pietro Muliere, Bruno Buonaguidi

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.865132

zbMATH Keywords

optimal stoppingfree-boundary problemmartingale approach of Beibelsequential detection and disorder problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Free boundary problems for PDEs (35R35)

Related Items (1)

The disorder problem for purely jump Lévy processes with completely monotone jumps

Cites Work

• A note on sequential detection with exponential penalty for the delay.
• Bayesian Quickest Detection Problems for Some Diffusion Processes
• Poisson Disorder Problem with Exponential Penalty for Delay

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