Quickest detection problems for Ornstein-Uhlenbeck processes

DOI10.1287/MOOR.2021.0186zbMATH Open1540.60073MaRDI QIDQ6563025

Kristoffer J. Glover, Goran Peskir

Publication date: 27 June 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingBrownian motionOrnstein-Uhlenbeck processsignal-to-noise ratiorisk managementfree-boundary problemsmooth fitBernoulli equationpairs tradingparabolic partial differential equationquickest detectionnonlinear Fredholm integral equation

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Other nonlinear integral equations (45G10) Reaction-diffusion equations (35K57) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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