Disorder Problem for Poisson Process in Generalized Bayesian Setting

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Publication:3556740

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DOI10.1137/S0040585X9798378XzbMath1196.62110MaRDI QIDQ3556740

E. V. Burnaev

Publication date: 26 April 2010

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

zbMATH Keywords

optimal stopping Poisson process disorder free-boundary problem differential-difference equation Bayesian risk continuous-fit condition smooth-fit condition

Mathematics Subject Classification ID

Bayesian inference (62F15) Optimal stopping in statistics (62L15)

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