Adaptive Poisson disorder problem
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Publication:862204
DOI10.1214/105051606000000312zbMath1104.62093arXivmath/0610184OpenAlexW2073187583MaRDI QIDQ862204
Ioannis Karatzas, Savas Dayanik, Erhan Bayraktar
Publication date: 5 February 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0610184
Bayesian problems; characterization of Bayes procedures (62C10) Inference from stochastic processes (62M99) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
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Cites Work
- Adaptive Poisson disorder problem
- Sequential change-point detection in continuous time when the post-change drift is unknown
- The standard Poisson disorder problem revisited
- Optimal stopping of a piecewise-deterministic markov process
- Poisson Disorder Problem with Exponential Penalty for Delay
- Stochastic differential equations. An introduction with applications.
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