A Bayesian-martingale approach to the general disorder problem
DOI10.1016/j.spa.2006.11.008zbMath1121.60045OpenAlexW2045653307MaRDI QIDQ2372468
N. Lazrieva, T. Kavtaradze, Michael Mania, Pietro Muliere
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 processoptimal stoppingPoisson processchange-pointvalue processdisorder problemBayesian-martingale approachreflecting backward equation
Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stopping in statistics (62L15)
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Cites Work
- Calcul stochastique et problèmes de martingales
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- Local times, optimal stopping and semimartingales
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