On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay

DOI10.1080/17442508.2013.865132zbMATH Open1337.60069OpenAlexW2004663025MaRDI QIDQ2811111FDOQ2811111

Bruno Buonaguidi, Pietro Muliere

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

zbMATH Keywords

free-boundary problemoptimal stoppingmartingale approach of Beibelsequential detection and disorder problems

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cites Work

• Bayesian Quickest Detection Problems for Some Diffusion Processes
• Poisson Disorder Problem with Exponential Penalty for Delay
• A note on sequential detection with exponential penalty for the delay.

Cited In (2)

• Finite horizon sequential detection with exponential penalty for the delay
• The disorder problem for purely jump Lévy processes with completely monotone jumps

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