Optimal speed of detection in generalized Wiener disorder problems.

DOI10.1016/S0304-4149(01)00098-9zbMATH Open1059.60055OpenAlexW2113386740MaRDI QIDQ1765992FDOQ1765992

Authors J. M. C. Clark, M. H. Vellekoop

Publication date 25 February 2005

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

Full work available at URL https://doi.org/10.1016/s0304-4149(01)00098-9

zbMATH Keywords

nonlinear filteringdetectionWiener disorder problem

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• An invariance principle for the law of the iterated logarithm
• Detection of abrupt changes: theory and application
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• On Optimum Methods in Quickest Detection Problems

Cited in

(12)

• The Bayes problem of detecting a disorder with information criterion of delay
• Detection of disorder before an observable event
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• Monotonicity and robustness in Wiener disorder detection
• Wiener disorder problem with observations at fixed discrete time epochs
• The Wiener continuous disorder problem
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
• On the Wiener disorder problem
• Sequential sensor installation for Wiener disorder detection
• Disorder detection with costly observations
• The Wiener disorder problem with finite horizon
• Quickest detection in the Wiener disorder problem with post-change uncertainty

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