On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion

DOI10.1137/S0040585X97983882MaRDI QIDQ3556750zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev

Publication date 26 April 2010

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

Full work available at URL https://doi.org/10.1137/s0040585x97983882

zbMATH Keywords

Brownian motionquickest detectionconditional-extremal problemsnonpredictable time

Mathematics Subject Classification ID

Sequential estimation (62L12) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion
• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
• Quickest detection problems for Bessel processes
• Bayesian quickest detection problems for some diffusion processes
• On stochastic models and optimal methods in the quickest detection problems
• Conditional Brownian motion in rapidly exhaustible domains
• A problem of the fastest detection of regime changing for Levy processes
• Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion
• On the time to reach maximum for a variety of constrained Brownian motions
• On the variances of occupation times of conditioned Brownian motion

Cited in

(14)

• \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process
• Optimal detection of a hidden target: the median rule
• Quickest detection of a hidden target and extremal surfaces
• Predicting the last zero before an exponential time of a spectrally negative Lévy process
• On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• The optimal stopping problem concerned with ultimate maximum of a Lévy process
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Stopping with expectation constraints: 3 points suffice
• Three-dimensional Brownian motion and the golden ratio rule
• On the optimal stopping of a Brownian motion with a negative drift
• Optimal prediction of the ultimate maximum of Brownian motion
• Predicting the last zero of Brownian motion with drift
• Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift

This page was built for publication: On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3556750)