Two-sided disorder problem for a Brownian motion in a Bayesian setting

DOI10.1134/S0081543814080124zbMath1326.60053OpenAlexW2029980650MaRDI QIDQ492179

Albert N. Shiryaev, Alexey Muravlev

Publication date: 20 August 2015

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0081543814080124

zbMATH Keywords

optimal stoppingBrownian motiontwo-sided disorder problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Multi-dimensional sequential testing and detection ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Monotonicity and robustness in Wiener disorder detection

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