Bayesian Quickest Detection Problems for Some Diffusion Processes

DOI10.1239/aap/1363354107zbMath1261.62077arXiv1010.3430OpenAlexW2963011144MaRDI QIDQ4915654

Pavel V. Gapeev, Albert N. Shiryaev

Publication date: 11 April 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.3430

zbMATH Keywords

stochastic boundarya change-of-variable formula with local time on surfacesdisorder detectionparabolic-type free-boundary problemmultidimensional optimal stopping

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stopping in statistics (62L15)

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