The Wiener continuous disorder problem (Q378178)

The author proposes an original Bayesian quickest change-point detection problem for an observable Brownian motion, in the case in which the disorder process is driven by a Browinan motion constantly correlated with the observable process. The original problem is reduced to an ordinary free-boundary problem which is solvable in a closed form. The appropriate verification assertion is provided. The associated time-inhomogeneous case is also considered.