Optimal detection of transition probability change in random sequence

DOI10.1080/17442508.2010.540015zbMath1235.60041arXiv0812.3632OpenAlexW3099937102MaRDI QIDQ3108381

Wojciech Sarnowski, Krzysztof J. Szajowski

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.3632

zbMATH Keywords

optimal stoppingMarkov processchange pointsequential detectiondisorder problem

Mathematics Subject Classification ID

Special processes (60K99) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

Rationalization of detection of the multiple disorders ⋮ Decision and game theory for security. Second international conference, GameSec 2011, College Park, MD, Maryland, USA, November 14--15, 2011. Proceedings

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Detection of intrusions in information systems by sequential change-point methods
• On a generalized disorder problem
• Optimal on-line detection of outside observations
• Probability maximizing approach to optimal stopping and its application to a disorder problem
• Quickest detection of abrupt changes for a class of random processes

This page was built for publication: Optimal detection of transition probability change in random sequence