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

zbMATH Keywords

Wiener processoptimal stoppingPoisson processchange-pointvalue processdisorder problemBayesian-martingale approachreflecting backward equation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stopping in statistics (62L15)

Related Items (1)

The Wiener continuous disorder problem

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
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