Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions

DOI10.1080/07474941003741227zbMath1190.62144OpenAlexW2068753192MaRDI QIDQ3578023

Savas Dayanik

Publication date: 13 July 2010

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/22377

zbMATH Keywords

optimal stoppingpiecewise-deterministic Markov processesBayesian sequential change detectioncompound Poisson disorder problem

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (1)

Bayesian Quickest Detection Problems for Some Diffusion Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Quickest detection with exponential penalty for delay
• The disorder problem for compound Poisson processes with exponential jumps
• A note on sequential detection with exponential penalty for the delay.
• Optimality of the CUSUM procedure in continuous time.
• Multisource Bayesian sequential change detection
• Sequential change detection revisited
• The standard Poisson disorder problem revisited
• Multidecision Quickest Change-Point Detection: Previous Achievements and Open Problems
• Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
• Quickest Detection
• Poisson Disorder Problem with Exponential Penalty for Delay
• Compound Poisson Disorder Problem
• Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
• On Optimum Methods in Quickest Detection Problems
• Procedures for Reacting to a Change in Distribution

This page was built for publication: Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions