Adaptive Poisson disorder problem
From MaRDI portal
Abstract: We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a known value to an unknown and unobservable value at an unknown and unobservable disorder time. Our objective is to design an alarm time which is adapted to the history of the arrival process and detects the disorder time as soon as possible. In previous solvable versions of the Poisson disorder problem, the arrival rate after the disorder has been assumed a known constant. In reality, however, we may at most have some prior information about the likely values of the new arrival rate before the disorder actually happens, and insufficient estimates of the new rate after the disorder happens. Consequently, we assume in this paper that the new arrival rate after the disorder is a random variable. The detection problem is shown to admit a finite-dimensional Markovian sufficient statistic, if the new rate has a discrete distribution with finitely many atoms. Furthermore, the detection problem is cast as a discounted optimal stopping problem with running cost for a finite-dimensional piecewise-deterministic Markov process. This optimal stopping problem is studied in detail in the special case where the new arrival rate has Bernoulli distribution. This is a nontrivial optimal stopping problem for a two-dimensional piecewise-deterministic Markov process driven by the same point process. Using a suitable single-jump operator, we solve it fully, describe the analytic properties of the value function and the stopping region, and present methods for their numerical calculation. We provide a concrete example where the value function does not satisfy the smooth-fit principle on a proper subset of the connected, continuously differentiable optimal stopping boundary, whereas it does on the complement of this set.
Recommendations
Cites work
- scientific article; zbMATH DE number 425394 (Why is no real title available?)
- scientific article; zbMATH DE number 5280097 (Why is no real title available?)
- scientific article; zbMATH DE number 3518072 (Why is no real title available?)
- scientific article; zbMATH DE number 3547593 (Why is no real title available?)
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 1113627 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- scientific article; zbMATH DE number 1765103 (Why is no real title available?)
- scientific article; zbMATH DE number 1795857 (Why is no real title available?)
- Adaptive Poisson disorder problem
- Optimal stopping of a piecewise-deterministic markov process
- Poisson Disorder Problem with Exponential Penalty for Delay
- Sequential change-point detection in continuous time when the post-change drift is unknown
- Stochastic differential equations. An introduction with applications.
- The standard Poisson disorder problem revisited
Cited in
(38)- On the problems of sequential statistical inference for Wiener processes with delayed observations
- Disorder problem for Poisson process in generalized Bayesian setting
- Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
- Change-point detection for Lévy processes
- Finite horizon sequential detection with exponential penalty for the delay
- Monotonicity and robustness in Wiener disorder detection
- scientific article; zbMATH DE number 1795857 (Why is no real title available?)
- Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
- Bayesian quickest detection problems for some diffusion processes
- Compound Poisson disorder problem with uniformly distributed disorder time
- Compound Poisson Disorder Problem
- Sequential multi-hypothesis testing for compound Poisson processes
- Optimal decision rules for product recalls
- Sequential testing of simple hypotheses about compound Poisson processes
- Adaptive Poisson disorder problem
- Model misspecification in discrete time Bayesian online change detection
- Sequential change detection revisited
- Quickest detection with discretely controlled observations
- Minimax and adaptive tests for detecting abrupt and possibly transitory changes in a Poisson process
- Sequential common rate decrease detection, isolation, and estimation in multiple Poisson processes
- Compound Poisson disorder problems with nonlinear detection delay penalty cost functions
- Sequential common change detection, isolation, and estimation in multiple Poisson processes
- Sequential tracking of a hidden Markov chain using point process observations
- Bayesian switching multiple disorder problems
- Quickest Detection of a Minimum of Two Poisson Disorder Times
- On the perpetual American put options for level dependent volatility models with jumps
- Optimal time to change premiums
- Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
- Multi-dimensional sequential testing and detection
- Disorder detection with costly observations
- Mean-variance portfolio selection for partially observed point processes
- Finite Horizon Decision Timing with Partially Observable Poisson Processes
- On the sequential testing and quickest change-point detection problems for Gaussian processes
- The disorder problem for purely jump Lévy processes with completely monotone jumps
- The standard Poisson disorder problem revisited
- Asset liquidation under drift uncertainty and regime-switching volatility
- Multisource Bayesian sequential change detection
- On optimal stopping of risk processes with regime switching
This page was built for publication: Adaptive Poisson disorder problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q862204)
