The Wiener continuous disorder problem

DOI10.1134/S1064562413030125zbMATH Open1295.60050OpenAlexW2055735039MaRDI QIDQ378178FDOQ378178

Authors: A. F. Aliev 

Publication date: 11 November 2013

Published in: Doklady Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064562413030125

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zbMATH Keywords

Bayesian quickest disorder (change-point) detection probleminnovation Brownian motionordinary free-boundary problemposterior probability

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Estimation and detection in stochastic control theory (93E10)

Cites Work

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• A Bayesian-martingale approach to the general disorder problem
• Nonlinear filtering problems. II: Associated equations
• Bayesian Quickest Detection Problems for Some Diffusion Processes

Cited In (5)

• Title not available (Why is that?)
• The Wiener disorder problem with finite horizon
• The change-point problem for continuous martingales
• On the Wiener disorder problem
• Detection of disorder before an observable event

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