Bayesian Quickest Detection Problems for Some Diffusion Processes

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

zbMATH Keywords

stochastic boundary; a change-of-variable formula with local time on surfaces; disorder detection; parabolic-type free-boundary problem; multidimensional optimal stopping

Mathematics Subject Classification ID

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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