Optimal Stopping Problems for a Brownian Motion with Disorder on a Segment

DOI10.1137/S0040585X97986448zbMath1293.60048arXiv1212.3709OpenAlexW2091541342MaRDI QIDQ5166322

Albert N. Shiryaev, Mikhail Zhitlukhin

Publication date: 26 June 2014

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

Full work available at URL: https://arxiv.org/abs/1212.3709

zbMATH Keywords

optimal stopping problemsdisorder detection problemsShiryaev-Roberts statistic

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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