The Wiener continuous disorder problem

DOI10.1134/S1064562413030125MaRDI QIDQ378178zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 3886816 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3725517 (Why is no real title available?)
• A Bayesian-martingale approach to the general disorder problem
• Bayesian quickest detection problems for some diffusion processes
• Nonlinear filtering problems. II: Associated equations

Cited in

(12)

• The change-point problem for continuous martingales
• scientific article; zbMATH DE number 1724306 (Why is no real title available?)
• Detection of disorder before an observable event
• Monotonicity and robustness in Wiener disorder detection
• On confidence intervals for Brownian motion change point times
• Bayesian disorder problems on filtered probability spaces
• On the Wiener disorder problem
• Bayesian disorder problem for the Brownian bridge
• On the sequential testing and quickest change-point detection problems for Gaussian processes
• Bayesian switching multiple disorder problems
• The Wiener disorder problem with finite horizon
• Quickest detection in the Wiener disorder problem with post-change uncertainty

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