scientific article; zbMATH DE number 3178062

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(33)

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

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