Bayesian switching multiple disorder problems

DOI10.1287/MOOR.2015.0770MaRDI QIDQ3186546zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev

Publication date 10 August 2016

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/62436/1/Gapeev_Bayesian%20switching_2016.pdf

zbMATH Keywords

a change-of-variable formula with local time on surfacesBayesian switching multiple disorder problemBrownian motioncontinuous-time Markov chaincoupled parabolic-type free-boundary problemdiffusion processHeun's double confluent functionoptimal switching problem

Mathematics Subject Classification ID

Boundary value problems for functional-differential equations (34K10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Inference from stochastic processes and prediction (62M20)

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Cited in

(7)

• A Bayesian-martingale approach to the general disorder problem
• Bayesian disorder problems on filtered probability spaces
• Bayes' model of the best-choice problem with disorder
• On a Formulation of the Multiple"Disorder" Problem
• Sequential tracking of an unobservable two-state Markov process under Brownian noise
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• Disorder detection with reversible decisions

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