Bayesian Quickest Detection Problems for Some Diffusion Processes
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Publication:4915654
DOI10.1239/aap/1363354107zbMath1261.62077arXiv1010.3430MaRDI QIDQ4915654
Pavel V. Gapeev, Albert N. Shiryaev
Publication date: 11 April 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.3430
stochastic boundary; a change-of-variable formula with local time on surfaces; disorder detection; parabolic-type free-boundary problem; multidimensional optimal stopping
62F15: Bayesian inference
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
62L15: Optimal stopping in statistics
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