On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay
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Publication:2811111
DOI10.1080/17442508.2013.865132zbMath1337.60069MaRDI QIDQ2811111
Pietro Muliere, Bruno Buonaguidi
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2013.865132
optimal stopping; free-boundary problem; martingale approach of Beibel; sequential detection and disorder problems
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
35R35: Free boundary problems for PDEs
Cites Work