Quickest detection problems for Bessel processes
From MaRDI portal
Publication:2013577
Bessel processBrownian motionentrance boundaryfree-boundary problemnonlinear Fredholm integral equationoptimal stoppingparabolic partial differential equationquickest detectionsmooth fit
Singular parabolic equations (35K67) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Brownian motion (60J65) Bayesian problems; characterization of Bayes procedures (62C10)
Recommendations
Cited in
(35)- Multidimensional investment problem
- On optimal stopping of multidimensional diffusions
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- Quickest real-time detection of a Brownian coordinate drift
- 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 reduction of public debt under partial observation of the economic growth
- Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
- The disorder problem for purely jump Lévy processes with completely monotone jumps
- Global C^1 regularity of the value function in optimal stopping problems
- Optimal entry decision of unemployment insurance under partial information
- On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
- Optimal stopping games in models with various information flows
- On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion
- Detecting changes in real-time data: a user's guide to optimal detection
- Sequential testing problems for Bessel processes
- On some functionals of the first passage times in models with switching stochastic volatility
- A remark on the quickest detection problems
- Quickest detection of a hidden target and extremal surfaces
- Discounted optimal stopping problems in continuous hidden Markov models
- On some functionals of the first passage times in jump models of stochastic volatility
- A change of variable formula with applications to multi-dimensional optimal stopping problems
- Two-Sided Singular Control of an Inventory with Unknown Demand Trend
- With or without replacement? Sampling uncertainty in Shepp’s urn scheme
- Finite horizon sequential detection with exponential penalty for the delay
- Optimal execution with multiplicative price impact and incomplete information on the return
- Bayesian quickest detection of credit card fraud
- On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
- Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
- Quickest real-time detection of multiple Brownian drifts
- Continuity of the optimal stopping boundary for two-dimensional diffusions
- Weak solutions in the sense of Schwartz to Dynkin's characteristic operator equation
- Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process
- Optimal stopping zero-sum games in continuous hidden Markov models
- The Gapeev-Shiryaev conjecture
This page was built for publication: Quickest detection problems for Bessel processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2013577)
