An Equation for the a Posteriori Probability of Disorder in a Sequence of Dependent Random Variables and Shiryaev-Optimal Detection of the Time of Occurrence of Disorder

DOI10.1137/1134095zbMath0766.60050OpenAlexW2007732012MaRDI QIDQ4710848

G. I. Salov

Publication date: 25 June 1992

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

Full work available at URL: https://doi.org/10.1137/1134095

zbMATH Keywords

recursion equationoptimal stopping rulescompound Markov sequenceproblem of optimal detection

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40)

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