On the sequential testing and quickest change-point detection problems for Gaussian processes
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a change-of-variable formula with local time on curvescurved boundaryfractional Brownian motionfree boundary problemfundamental martingalelikelihood ratiooptimal stopping problemquickest change-point (disorder)sequential testingtime-inhomogeneous diffusion process
Boundary value problems for functional-differential equations (34K10) Gaussian processes (60G15) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Optimal stopping in statistics (62L15) Inference from stochastic processes and prediction (62M20)
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Cited in
(10)- Detecting multiple change-points in the mean of Gaussian process by model selection
- Optimal change point detection in Gaussian processes
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria
- On the problems of sequential statistical inference for Wiener processes with delayed observations
- Optimal sequential testing for an inverse Gaussian process
- Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
- Bayesian quickest detection problems for some diffusion processes
- A Bayesian sequential test for the drift of a fractional Brownian motion
- Finite horizon sequential detection with exponential penalty for the delay
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