On a generalized disorder problem

DOI10.1016/0304-4149(84)90305-3MaRDI QIDQ800035zbMATH OpenOpenAlexFDO

Authors Tomasz Bojdecki, Jerzy Hosza

Publication date 1984

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(84)90305-3

zbMATH Keywords

optimal stoppingstopping rule

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• On optimal stopping of a sequence of independent random variables- probability maximizing approach
• On Optimum Methods in Quickest Detection Problems
• Probability maximizing approach to optimal stopping and its application to a disorder problem

Cited in

(18)

• Detecting changes in signals and systems - a survey
• Optimal on-line detection of outside observations
• Quickest detection with exponential penalty for delay
• Change-point problems: bibliography and review
• Disorder problem for self-exciting process
• The general markov chain disorder problem
• Optimal detection of transition probability change in random sequence
• scientific article; zbMATH DE number 3872510 (Why is no real title available?)
• Average delay time asymptotics in the generalized Bayesian Lévy disorder problem
• The optimal forecasting for the multinomial scheme with disorder
• scientific article; zbMATH DE number 3965812 (Why is no real title available?)
• scientific article; zbMATH DE number 4011559 (Why is no real title available?)
• scientific article; zbMATH DE number 1795857 (Why is no real title available?)
• An Equation for the a Posteriori Probability of Disorder in a Sequence of Dependent Random Variables and Shiryaev-Optimal Detection of the Time of Occurrence of Disorder
• The general discrete time disorder problem
• On optimal stopping of risk processes with regime switching
• On a Formulation of the Multiple"Disorder" Problem
• Analysis of bounded disorder

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