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

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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)

Cites Work

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• Detection of abrupt changes: theory and application
• On Optimum Methods in Quickest Detection Problems
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• An invariance principle for the law of the iterated logarithm
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Title not available (Why is that?)

Cited In (12)

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

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