Quickest detection in the Wiener disorder problem with post-change uncertainty

DOI10.1080/17442508.2016.1276908zbMath1361.60029OpenAlexW2595056597MaRDI QIDQ2974885

Olympia Hadjiliadis, Heng Yang, Michael Ludkovski

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1276908

zbMATH Keywords

stochastic optimizationasymptotic optimalitysequential analysischange point detectionWiener disorder problemcomposite stopping timepost-change uncertainty

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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