The standard Poisson disorder problem revisited
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Publication:2567225
DOI10.1016/j.spa.2005.04.011zbMath1070.62062OpenAlexW2060736999MaRDI QIDQ2567225
Savas Dayanik, Erhan Bayraktar, Ioannis Karatzas
Publication date: 29 September 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.04.011
Inference from stochastic processes (62M99) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
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Cites Work
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- Point processes and queues. Martingale dynamics
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- Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage
- Poisson Disorder Problem with Exponential Penalty for Delay
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