On the disorder problem for a negative binomial process

DOI10.1239/JAP/1429282613MaRDI QIDQ5252243zbMATH OpenOpenAlexFDO

Authors Pietro Muliere, Bruno Buonaguidi

Publication date 29 May 2015

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1429282613

zbMATH Keywords

sequential detectionstopping timeoptimal stopping problemnegative binomial processregular boundarysmooth fit principleBayesian disorder problemintegro-differential free-boundary problemcontinuous fit principle

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Bayesian problems; characterization of Bayes procedures (62C10) Integro-partial differential equations (35R09) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40)

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