On disorder problem with point processes (Q1083758)
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On disorder problem with point processes (English)
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1986
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The author considers a disorder problem of detecting a change in distribution for point processes. Let X(t), \(t\geq 0\), denote a point process, the distribution of which changes at an unknown random time S. The distributions before and after the change point are assumed to be known. The objective is to maximize Eg(S,T) among all stopping times T based on the observation of the process X(t), \(t\geq 0\), where g is some given pay-off function. The general theory of optimal stopping is applied to this problem and, using the theory of monotone stopping problems, an explicit solution is computed in an example.
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disorder problem
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detecting a change in distribution for point processes
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optimal stopping
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monotone stopping problems
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