scientific article; zbMATH DE number 3178062

Cited in

(38)

Statistical inference for reciprocal gamma diffusion process
Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
The disorder problem for compound Poisson processes with exponential jumps
State-of-the-art in sequential change-point detection
Quickest real-time detection of a Brownian coordinate drift
Whittaker-Stockwell transform and Tikhonov regularization problem
On the evaluation of an integral involving the Whittaker \(W\) function
A multiple hypothesis testing approach to detection changes in distribution
Quickest drift change detection in Lévy-type force of mortality model
An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
Optimal thresholds for anomaly-based intrusion detection in dynamical environments
Bayesian switching multiple disorder problems
High-order approximation of Pearson diffusion processes
Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
Quickest detection of a hidden target and extremal surfaces
Bayesian quickest detection problems for some diffusion processes
On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
Explicit asymptotics on first passage times of diffusion processes
Steady-state average run length(s): Methodology, formulas, and numerics
Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
Efficiency of institutional spending and investment rules
Lévy processes with respect to the Whittaker convolution
Generalization of Titchmarsh's theorem for the modified Whittaker transform
Optimality of Two-Parameter Strategies in Stochastic Control
On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
Quickest real-time detection of multiple Brownian drifts
Efficient performance evaluation of the generalized Shiryaev-Roberts detection procedure in a multi-cyclic setup
Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems
Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process
Optimal stopping for Markov processes with positive jumps
Quickest change-point detection problems for multidimensional Wiener processes
Online jump and kink detection in segmented linear regression: statistical optimality meets computational efficiency
Filtering in a hazard rate change-point model with financial and life-insurance applications
The Wiener disorder problem with finite horizon

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