Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
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Publication:5476157
DOI10.1239/jap/1134587825zbMath1093.62078OpenAlexW2003952691MaRDI QIDQ5476157
Publication date: 29 June 2006
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1134587825
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Related Items (4)
Sequential Sensor Installation for Wiener Disorder Detection ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions ⋮ A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
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