On the sequential testing and quickest change-point detection problems for Gaussian processes (Q4584692)
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scientific article; zbMATH DE number 6931434
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| English | On the sequential testing and quickest change-point detection problems for Gaussian processes |
scientific article; zbMATH DE number 6931434 |
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On the sequential testing and quickest change-point detection problems for Gaussian processes (English)
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4 September 2018
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sequential testing
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quickest change-point (disorder)
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likelihood ratio
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time-inhomogeneous diffusion process
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optimal stopping problem
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curved boundary
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free boundary problem
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a change-of-variable formula with local time on curves
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fractional Brownian motion
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fundamental martingale
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