scientific article; zbMATH DE number 1795857
From MaRDI portal
Publication:4550924
zbMath1009.60033MaRDI QIDQ4550924
Albert N. Shiryaev, Goran Peskir
Publication date: 28 April 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Related Items
Sequential common rate decrease detection, isolation, and estimation in multiple Poisson processes, Change-level detection for Lévy subordinators, Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables, A Bayesian-martingale approach to the general disorder problem, The Wiener disorder problem with finite horizon, Adaptive Poisson disorder problem, Detecting changes in real-time data: a user’s guide to optimal detection, Sequential common change detection, isolation, and estimation in multiple poisson processes, Multi-dimensional sequential testing and detection, On the sequential testing and quickest change-point detection problems for Gaussian processes, Finite horizon sequential detection with exponential penalty for the delay, Bayesian quickest detection of credit card fraud, Multisource Bayesian sequential change detection, Sequential change detection revisited, Compound Poisson disorder problem with uniformly distributed disorder time, Model misspecification in discrete time Bayesian online change detection, Minimax and adaptive tests for detecting abrupt and possibly transitory changes in a Poisson process, On the problems of sequential statistical inference for Wiener processes with delayed observations, Monotonicity and robustness in Wiener disorder detection, On optimal stopping of risk processes with regime switching, Change-point detection for Lévy processes, The monotone case approach for the solution of certain multidimensional optimal stopping problems, The integral option in a model with jumps, Monitoring a Poisson process in several categories subject to changes in the arrival rates, Optimal detection of a change-set in a spatial Poisson process, On the single-leg airline revenue management problem in continuous time, The right time to sell a stock whose price is driven by Markovian noise, The disorder problem for compound Poisson processes with exponential jumps, A note on optimal stopping for possible change in the intensity of an ordinary Poisson process, Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes, Monitoring a Poisson process subject to gradual changes in the arrival rates, Detecting changes in a Poisson process monitored at uneven time intervals where the arrival rates are unknown, On some functionals of the first passage times in jump models of stochastic volatility, A note on pasting conditions for the American perpetual optimal stopping problem, Optimal time to change premiums, On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models, The disorder problem for purely jump Lévy processes with completely monotone jumps, Sequential tracking of a hidden Markov chain using point process observations, Unnamed Item, The standard Poisson disorder problem revisited, Some remarks on first passage of Lévy processes, the American put and pasting principles, Quickest drift change detection in Lévy-type force of mortality model, Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise, Monitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknown