Disorder problem for Poisson process in generalized Bayesian setting

DOI10.1137/S0040585X9798378XMaRDI QIDQ3556740zbMATH OpenFDO

Authors E. V. Burnaev

Publication date 26 April 2010

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

zbMATH Keywords

Poisson processdisorderfree-boundary problemoptimal stoppingdifferential-difference equationBayesian riskcontinuous-fit conditionsmooth-fit condition

Mathematics Subject Classification ID

Bayesian inference (62F15) Optimal stopping in statistics (62L15)

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• scientific article; zbMATH DE number 1795857

Cited in

(15)

• Two-sided disorder problem for a Brownian motion in a Bayesian setting
• On the disorder problem for a negative binomial process
• Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes
• On disorder problem with point processes
• Compound Poisson disorder problem with uniformly distributed disorder time
• Compound Poisson Disorder Problem
• A markov renewal approach to the poisson disorder problem
• Adaptive Poisson disorder problem
• A Bayesian-martingale approach to the general disorder problem
• A note on optimal stopping for possible change in the intensity of an ordinary Poisson process
• Compound Poisson disorder problems with nonlinear detection delay penalty cost functions
• The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria
• The disorder problem for purely jump Lévy processes with completely monotone jumps
• The standard Poisson disorder problem revisited
• Disorder problem for a Poisson process in the generalized Bayesian setting

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