On the linear and nonlinear generalized Bayesian disorder problem (discrete time case)

MaRDI QIDQ3400719zbMATH OpenFDO

Authors Albert N. Shiryaev, Pavel Y. Zryumov

Publication date 5 February 2010

zbMATH Keywords

Markov systems of sufficient statistics

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Discrete-time Markov processes on general state spaces (60J05) Sufficient statistics and fields (62B05) Statistical decision theory (62C99) Optimal stopping in statistics (62L15)

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(5)

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• Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
• Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
• Bayesian quickest detection problems for some diffusion processes
• Two-sided disorder problem for a Brownian motion in a Bayesian setting

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