Disorder detection with costly observations

DOI10.1017/JPR.2021.63zbMath1493.62479arXiv2002.00930OpenAlexW4303079827MaRDI QIDQ5086994

Jia Guo, Erhan Bayraktar, Erik Ekström

Publication date: 8 July 2022

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

Full work available at URL: https://arxiv.org/abs/2002.00930

zbMATH Keywords

optimal stoppingdiscrete cost of observationWiener disorder detection

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites Work

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• Adaptive Poisson disorder problem
• A quickest detection problem with an observation cost
• The standard Poisson disorder problem revisited
• Weak Dynamic Programming Principle for Viscosity Solutions
• Wiener Disorder Problem with Observations at Fixed Discrete Time Epochs
• Quickest Detection
• On a quickest detection problem with costly information
• Sequential testing of a Wiener process with costly observations
• A remark on the quickest detection problems
• Bayesian Quickest Detection Problems for Some Diffusion Processes
• Quickest Detection with Discretely Controlled Observations
• Optimal Stopping Rules

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