The Wiener continuous disorder problem (Q378178): Difference between revisions
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Latest revision as of 11:14, 30 July 2024
scientific article
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English | The Wiener continuous disorder problem |
scientific article |
Statements
The Wiener continuous disorder problem (English)
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11 November 2013
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The author proposes an original Bayesian quickest change-point detection problem for an observable Brownian motion, in the case in which the disorder process is driven by a Browinan motion constantly correlated with the observable process. The original problem is reduced to an ordinary free-boundary problem which is solvable in a closed form. The appropriate verification assertion is provided. The associated time-inhomogeneous case is also considered.
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Bayesian quickest disorder (change-point) detection problem
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innovation Brownian motion
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posterior probability
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ordinary free-boundary problem
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