Quickest detection problems for Ornstein-Uhlenbeck processes (Q6563025)
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scientific article; zbMATH DE number 7872327
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| English | Quickest detection problems for Ornstein-Uhlenbeck processes |
scientific article; zbMATH DE number 7872327 |
Statements
Quickest detection problems for Ornstein-Uhlenbeck processes (English)
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27 June 2024
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quickest detection
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Brownian motion
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Ornstein-Uhlenbeck process
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optimal stopping
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signal-to-noise ratio
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Bernoulli equation
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parabolic partial differential equation
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free-boundary problem
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smooth fit
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nonlinear Fredholm integral equation
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pairs trading
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risk management
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