Disorder problem for self-exciting process

DOI10.1137/S0040585X97986126MaRDI QIDQ2863592zbMATHFDO

Authors A. Aliev

Publication date 22 November 2013

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

Mathematics Subject Classification ID

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

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(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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