Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
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Publication:5437385
DOI10.1524/stnd.2006.24.4.445zbMath1135.60024OpenAlexW2124197294MaRDI QIDQ5437385
Eugene A. Feinberg, Albert N. Shiryaev
Publication date: 18 January 2008
Published in: Statistics & Decisions (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/193bf068f91784aa28fc85e1ea1d1c1232d1b2f8
optimal stoppingBrownian motiondisorderasymptotical optimalitygeneralized Bayesian and minimax formulations of the quickest detection problem
Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40)
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