Optimal Sequential Change Detection for Fractional Diffusion-Type Processes
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Publication:4918559
DOI10.1239/jap/1363784422zbMath1349.62368arXiv1102.0598MaRDI QIDQ4918559
Alexandra Chronopoulou, Georgios Fellouris
Publication date: 25 April 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.0598
fractional Brownian motion; optimality; CUSUM; change-point detection; diffusion-type process; sequential change detection; fractional Ornstein-Uhlenbeck
60G22: Fractional processes, including fractional Brownian motion
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
62L10: Sequential statistical analysis
62L12: Sequential estimation
Related Items
On the sequential testing and quickest change-point detection problems for Gaussian processes, Change-point detection for Lévy processes
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Cites Work
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