Quickest real-time detection of multiple Brownian drifts

DOI10.1137/23m1587750zbMATH Open1541.60028MaRDI QIDQ6569594

Hongwei Mei, Philip Ernst, Goran Peskir

Publication date: 9 July 2024

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

zbMATH Keywords

optimal stoppingBrownian motionfree-boundary problemsmooth fitquickest detectionnonlinear Fredholm integral equationHörmander's conditionchange-of-variable formula with local time on surfaceshypoelliptic partial differential equation

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Other nonlinear integral equations (45G10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Hypoelliptic equations (35H10)

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