The disorder problem for compound Poisson processes with exponential jumps (Q1774227)
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scientific article
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| English | The disorder problem for compound Poisson processes with exponential jumps |
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The disorder problem for compound Poisson processes with exponential jumps (English)
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29 April 2005
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The author considers the problem of disorder which seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. He gives a partial answer to this question for some special cases of Lévy processes and gives a complete solution to the problem for a compound Poisson process that has exponentially distributed jumps.
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0.8657090067863464
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0.854701578617096
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0.8362430930137634
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0.8059831857681274
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