Quickest Detection of a Minimum of Two Poisson Disorder Times

DOI10.1137/050630933zbMath1139.62043arXivcs/0509029OpenAlexW2076792679MaRDI QIDQ5444237

Erhan Bayraktar, H. Vincent Poor

Publication date: 25 February 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cs/0509029

zbMATH Keywords

optimal stoppingPoisson processeschange detection

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (8)

Change-level detection for Lévy subordinators ⋮ Multi-dimensional sequential testing and detection ⋮ Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ Bayesian Quickest Detection in Sensor Arrays ⋮ On some functionals of the first passage times in jump models of stochastic volatility ⋮ Quickest real-time detection of a Brownian coordinate drift ⋮ Quickest search over Brownian channels

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