Quickest detection of a hidden target and extremal surfaces

DOI10.1214/13-AAP979zbMath1338.60115arXiv1409.1745MaRDI QIDQ473157

Goran Peskir

Publication date: 21 November 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.1745

zbMATH Keywords

optimal stoppingprinciple of smooth fitdiffusion processminimum processnonlinear differential equationmaximum processquickest detectionexcursionhidden targetmaximality principleextremal surfacerange process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Nonlinear ordinary differential equations and systems (34A34) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

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