scientific article; zbMATH DE number 3178062

zbMATH Open0109.11201MaRDI QIDQ3845705FDOQ3845705

Authors: Albert N. Shiryaev 

Publication date: 1961

Title of this publication is not available (Why is that?)

Mathematics Subject Classification ID

Detection theory in information and communication theory (94A13)

Cited In (33)

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

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