A Bayesian-martingale approach to the general disorder problem
From MaRDI portal
Publication:2372468
DOI10.1016/j.spa.2006.11.008zbMath1121.60045MaRDI QIDQ2372468
Pietro Muliere, Michael Mania, T. Kavtaradze, N. Lazrieva
Publication date: 27 July 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.11.008
Wiener process; optimal stopping; Poisson process; change-point; value process; disorder problem; Bayesian-martingale approach; reflecting backward equation
60G44: Martingales with continuous parameter
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
62L15: Optimal stopping in statistics
Cites Work
- Calcul stochastique et problèmes de martingales
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Local times, optimal stopping and semimartingales
- On the optimal stopping problem for one-dimensional diffusions.
- Semimartingale Inequalities for The Snell Envelopes
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item