Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics

DOI10.1007/978-3-540-69532-5_21MaRDI QIDQ3528747zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev

Publication date 17 October 2008

Published in Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69532-5_21

Mathematics Subject Classification ID

Brownian motion (60J65) Sufficient statistics and fields (62B05) Bayesian inference (62F15)

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Cited in

(5)

• On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
• Probability maximizing approach to a detection problem with continuous markov processes
• On the linear and nonlinear generalized Bayesian disorder problem (discrete time case)
• Compound Poisson disorder problems with nonlinear detection delay penalty cost functions
• Bayesian quickest detection problems for some diffusion processes

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