The Wiener continuous disorder problem (Q378178): Difference between revisions
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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. | |||
Property / review text: 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. / rank | |||
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Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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Property / Mathematics Subject Classification ID: 93E10 / rank | |||
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Property / Mathematics Subject Classification ID: 93E11 / rank | |||
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Property / zbMATH DE Number: 6225243 / rank | |||
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Property / zbMATH Keywords | |||
Bayesian quickest disorder (change-point) detection problem | |||
Property / zbMATH Keywords: Bayesian quickest disorder (change-point) detection problem / rank | |||
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innovation Brownian motion | |||
Property / zbMATH Keywords: innovation Brownian motion / rank | |||
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posterior probability | |||
Property / zbMATH Keywords: posterior probability / rank | |||
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ordinary free-boundary problem | |||
Property / zbMATH Keywords: ordinary free-boundary problem / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Pavel V. Gapeev / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / cites work | |||
Property / cites work: Q3219515 / rank | |||
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Property / cites work: Q3914255 / rank | |||
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Property / cites work: Bayesian Quickest Detection Problems for Some Diffusion Processes / rank | |||
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Property / cites work: A Bayesian-martingale approach to the general disorder problem / rank | |||
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Property / cites work: Q3015740 / rank | |||
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Property / cites work: Q2703816 / rank | |||
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Property / cites work: Q3378055 / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1134/s1064562413030125 / rank | |||
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Property / OpenAlex ID: W2055735039 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 11:14, 30 July 2024
scientific article
Language | Label | Description | Also known as |
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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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