Detection of disorder before an observable event

DOI10.1080/17442500601096190zbMATH Open1110.60040OpenAlexW2014154468MaRDI QIDQ3429342FDOQ3429342

Authors: Arne Løkka 

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601096190

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Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• On Optimum Methods in Quickest Detection Problems
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• A remark on the quickest detection problems
• The Wiener disorder problem with finite horizon
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• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Quickest detection with exponential penalty for delay
• A note on optimal detection of a change in distribution
• The Wiener Sequential Testing Problem with Finite Horizon
• The standard Poisson disorder problem revisited
• On the Detection of Disorder in a Manufacturing Process. I.
• A note on sequential detection with exponential penalty for the delay.
• Optimal speed of detection in generalized Wiener disorder problems.
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Cited In (1)

• The kind of silence: managing a reputation for voluntary disclosure in financial markets

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