Bayesian Switching Multiple Disorder Problems

DOI10.1287/moor.2015.0770zbMath1342.60059OpenAlexW777128954MaRDI QIDQ3186546

Pavel V. Gapeev

Publication date: 10 August 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/62436/1/Gapeev_Bayesian%20switching_2016.pdf

zbMATH Keywords

Brownian motiondiffusion processcontinuous-time Markov chainoptimal switching problema change-of-variable formula with local time on surfacesBayesian switching multiple disorder problemcoupled parabolic-type free-boundary problemHeun's double confluent function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Boundary value problems for functional-differential equations (34K10)

Related Items

A change of variable formula with applications to multi-dimensional optimal stopping problems, Sequential tracking of an unobservable two-state Markov process under Brownian noise

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