The disorder problem for diffusion processes with the -linear and expected total miss criteria

DOI10.1016/J.SPL.2022.109548MaRDI QIDQ2170226zbMATH OpenOpenAlexWikidataFDO

Authors Bruno Buonaguidi

Publication date 30 August 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109548

zbMATH Keywords

Bessel process and Brownian motionchange-point/disorder problemdiffusion processesepsilon-linear and expected total miss criteriaoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Optimal stopping in statistics (62L15)

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Cites work

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• Compound Poisson Disorder Problem
• Global C^1 regularity of the value function in optimal stopping problems
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• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• On the problems of sequential statistical inference for Wiener processes with delayed observations
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• Quickest detection problems for Bessel processes
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• The standard Poisson disorder problem revisited
• The Wiener disorder problem with finite horizon

Cited in

(1)

• Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process

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