Compound Poisson Disorder Problem
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Cited in
(38)- Optimal time to change premiums
- The disorder problem for compound Poisson processes with exponential jumps
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria
- On the problems of sequential statistical inference for Wiener processes with delayed observations
- On the single-leg airline revenue management problem in continuous time
- The disorder problem for purely jump Lévy processes with completely monotone jumps
- Quickest drift change detection in Lévy-type force of mortality model
- Multisource Bayesian sequential change detection
- On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
- The standard Poisson disorder problem revisited
- Finite Horizon Decision Timing with Partially Observable Poisson Processes
- Monte Carlo methods for adaptive disorder problems
- Detection of changes of multiple Poisson processes monitored at discrete time points where the arrival rates are unknown
- Disorder problem for Poisson process in generalized Bayesian setting
- Compound Poisson disorder problems with nonlinear detection delay penalty cost functions
- Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
- scientific article; zbMATH DE number 1795857 (Why is no real title available?)
- On the sequential testing and quickest change-point detection problems for Gaussian processes
- Bayesian quickest detection problems for some diffusion processes
- On some functionals of the first passage times in jump models of stochastic volatility
- On the disorder problem for a negative binomial process
- Disorder problem for a Poisson process in the generalized Bayesian setting
- Poisson Disorder Problem with Exponential Penalty for Delay
- Quickest Detection of a Minimum of Two Poisson Disorder Times
- Sequential multi-hypothesis testing for compound Poisson processes
- Finite horizon sequential detection with exponential penalty for the delay
- Bayesian quickest detection of credit card fraud
- Compound Poisson disorder problem with uniformly distributed disorder time
- Model misspecification in discrete time Bayesian online change detection
- On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
- A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
- Sequential common change detection, isolation, and estimation in multiple compound Poisson processes
- Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process
- Quickest change-point detection problems for multidimensional Wiener processes
- Compound Poisson disorder problem with general disorder prior density
- Sequential testing of simple hypotheses about compound Poisson processes
- Adaptive Poisson disorder problem
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