On disorder problem with point processes

MaRDI QIDQ1083758zbMATH OpenFDO

Authors Minoru W. Yoshida

Publication date 1986

Published in Osaka Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

detecting a change in distribution for point processesdisorder problemmonotone stopping problemsoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Optimal stopping in statistics (62L15)

Review text

The author considers a disorder problem of detecting a change in distribution for point processes. Let X(t), \(t\geq 0\), denote a point process, the distribution of which changes at an unknown random time S. The distributions before and after the change point are assumed to be known. The objective is to maximize Eg(S,T) among all stopping times T based on the observation of the process X(t), \(t\geq 0\), where g is some given pay-off function. The general theory of optimal stopping is applied to this problem and, using the theory of monotone stopping problems, an explicit solution is computed in an example.

Recommendations

• On the Disorder Problem for Random Fields
• scientific article; zbMATH DE number 4157738
• Disorder problem for Poisson process in generalized Bayesian setting
• Disorder problem for a Poisson process in the generalized Bayesian setting
• On the disorder problem for a negative binomial process
• On certain problems involving order statistics: A unified approach through order statistics property of point processes
• scientific article; zbMATH DE number 910011
• The standard Poisson disorder problem revisited
• The disorder problem for compound Poisson processes with exponential jumps

Cited in

(8)

• The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria
• Disorder indicator for nonstationary stochastic processes
• Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
• The change-point problem for continuous martingales
• scientific article; zbMATH DE number 940800 (Why is no real title available?)
• Discord Detection For A Process With A Predefined Interval Of Observations
• On a Formulation of the Multiple"Disorder" Problem
• What Happened to Discrete Chaos, the Quenouille Process, and the Sharp Markov Property? Some History of Stochastic Point Processes

This page was built for publication: On disorder problem with point processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1083758)