Disorder problem for self-exciting process

DOI10.1137/S0040585X97986126zbMATH Open1280.62093MaRDI QIDQ2863592FDOQ2863592

Authors: A. Aliev 

Publication date: 22 November 2013

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

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Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cited In (2)

• Detecting changes in real-time data: a user's guide to optimal detection
• Disorder problem for a Poisson process in the generalized Bayesian setting

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