On the sequential testing and quickest change-point detection problems for Gaussian processes

DOI10.1080/17442508.2017.1284222zbMATH Open1394.60030OpenAlexW2581400110MaRDI QIDQ4584692FDOQ4584692

Pavel Gapeev, Yavor I. Stoev

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/68927/1/Gapeev_On%20the%20sequential%20testing%20and%20quickest_author_Final.pdf

zbMATH Keywords

fractional Brownian motionfree boundary problemlikelihood ratiooptimal stopping problemsequential testingcurved boundaryfundamental martingaletime-inhomogeneous diffusion processa change-of-variable formula with local time on curvesquickest change-point (disorder)

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Boundary value problems for functional-differential equations (34K10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cited In (6)

• A Bayesian sequential test for the drift of a fractional Brownian motion
• Finite horizon sequential detection with exponential penalty for the delay
• The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria
• Optimal sequential testing for an inverse Gaussian process
• Detecting multiple change-points in the mean of Gaussian process by model selection
• On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay

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