Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
DOI10.1524/STND.2006.24.4.445zbMATH Open1135.60024OpenAlexW2124197294MaRDI QIDQ5437385FDOQ5437385
Authors: 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
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Brownian motiondisorderoptimal stoppingasymptotical optimalitygeneralized Bayesian and minimax formulations of the quickest detection problem
Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Estimation and detection in stochastic control theory (93E10)
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- On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion
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