On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion

DOI10.1137/S0040585X97983791zbMATH Open1395.62253MaRDI QIDQ3556741FDOQ3556741

Authors: E. V. Burnaev, Eugene A. Feinberg, Albert N. Shiryaev 

Publication date: 26 April 2010

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

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zbMATH Keywords

Brownian motionminimax riskdisorder problemasymptotical optimality of the first and second orders

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Minimax procedures in statistical decision theory (62C20) Brownian motion (60J65)

Cited In (14)

• Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
• A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
• Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
• Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
• On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
• Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion
• Asymptotic design of general triangular stopping boundaries for Brownian motion
• On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
• Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion

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