The Disorder Problem for Semimartingales

DOI10.1137/1133089zbMath0716.62084OpenAlexW2024133104MaRDI QIDQ3203883

Alexander V. Melnikov

Publication date: 1988

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1133089

zbMATH Keywords

locally square integrable martingalesdisorder momentincreasing sequence of stopping times

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Non-Markovian processes: hypothesis testing (62M07)

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