Sequential tracking of an unobservable two-state Markov process under Brownian noise

DOI10.1080/07474946.2021.1847924zbMath1464.62361arXiv1908.01162OpenAlexW3137104277MaRDI QIDQ4987187

Mikhail Zhitlukhin, Alexey Muravlev, Mikhail A. Urusov

Publication date: 29 April 2021

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

Full work available at URL: https://arxiv.org/abs/1908.01162

zbMATH Keywords

optimal stoppingoptimal switchingchange point detectionsequential tracking

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites Work

• Continuous-time stochastic control and optimization with financial applications
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• Optimal Switching in an Economic Activity under Uncertainty
• Asymptotic optimal tracking: feedback strategies
• Stochastic Disorder Problems
• Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
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