The Disorder Problem for Semimartingales

DOI10.1137/1133089MaRDI QIDQ3203883zbMATH OpenOpenAlexFDO

Authors Alexander Melnikov

Publication date 1988

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1133089

zbMATH Keywords

disorder momentincreasing sequence of stopping timeslocally square integrable martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Non-Markovian processes: hypothesis testing (62M07)

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