The Wiener continuous disorder problem

DOI10.1134/S1064562413030125zbMath1295.60050OpenAlexW2055735039MaRDI QIDQ378178

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

zbMATH Keywords

posterior probabilityBayesian quickest disorder (change-point) detection probleminnovation Brownian motionordinary free-boundary problem

Mathematics Subject Classification ID

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

Cites Work

• A Bayesian-martingale approach to the general disorder problem
• Bayesian Quickest Detection Problems for Some Diffusion Processes
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