On the Wiener disorder problem

DOI10.1214/09-AAP655zbMath1203.62136arXiv1010.4617OpenAlexW1981766998MaRDI QIDQ990391

Semih Onur Sezer

Publication date: 1 September 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4617

zbMATH Keywords

optimal stoppingjump-diffusion processessequential change detection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Optimal stopping in statistics (62L15)

Related Items (9)

Sequential Sensor Installation for Wiener Disorder Detection ⋮ Momentum liquidation under partial information ⋮ On the sequential testing and quickest change-point detection problems for Gaussian processes ⋮ Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Multisource Bayesian sequential binary hypothesis testing problem ⋮ On the problems of sequential statistical inference for Wiener processes with delayed observations ⋮ Probability law and flow function of Brownian motion driven by a generalized telegraph process ⋮ Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise

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