Bayesian disorder problem for the Brownian bridge

DOI10.1070/RM9742MaRDI QIDQ2965810zbMATH OpenOpenAlexFDO

Authors Dmitrii I. Lisovskii

Publication date 3 March 2017

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm9742

zbMATH Keywords

alarm timeBayesian disorder problemBrownian bridgedisorder timeoptimal stopping timerisk function

Mathematics Subject Classification ID

Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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Cited in

(5)

• A Bayesian-martingale approach to the general disorder problem
• Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
• Bayesian switching multiple disorder problems
• Bayes' model of the best-choice problem with disorder
• Two-sided disorder problem for a Brownian motion in a Bayesian setting

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