scientific article; zbMATH DE number 3518072

MaRDI QIDQ4096228zbMATH OpenFDO

Authors Mark H. A. Davis

Publication date 1976

Full work available at URL https://eudml.org/doc/208565

Mathematics Subject Classification ID

Special processes (60K99) Inference from stochastic processes (62M99) Estimation and detection in stochastic control theory (93E10)

Cited in

(21)

• Optimal online detection of parameter changes in two linear models
• On a reliability problem by stochastic control methods
• Optimal on-line detection of outside observations
• The disorder problem for compound Poisson processes with exponential jumps
• The monotone case approach for the solution of certain multidimensional optimal stopping problems
• Change-level detection for Lévy subordinators
• On the problems of sequential statistical inference for Wiener processes with delayed observations
• The disorder problem for purely jump Lévy processes with completely monotone jumps
• A Bayesian-martingale approach to the general disorder problem
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• The standard Poisson disorder problem revisited
• On the sequential testing and quickest change-point detection problems for Gaussian processes
• On optimal stopping of risk processes with regime switching
• On some functionals of the first passage times in jump models of stochastic volatility
• Bayesian quickest detection of credit card fraud
• Compound Poisson disorder problem with uniformly distributed disorder time
• Model misspecification in discrete time Bayesian online change detection
• Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process
• Compound Poisson disorder problem with general disorder prior density
• The Wiener disorder problem with finite horizon
• Adaptive Poisson disorder problem

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