Poisson Disorder Problem with Exponential Penalty for Delay

DOI10.1287/MOOR.1060.0190MaRDI QIDQ5387975zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Savas Dayanik

Publication date 27 May 2008

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL http://www.math.lsa.umich.edu/~erhan/expo.pdf

zbMATH Keywords

differential-delay equationsoptimal stoppingPoisson disorder problemquickest detection

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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• Sequential change detection revisited
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• On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay
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• Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
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