Quickest detection problems for Ornstein-Uhlenbeck processes

DOI10.1287/MOOR.2021.0186MaRDI QIDQ6563025zbMATH OpenFDO

Authors Kristoffer J. Glover, Goran Peskir

Publication date 27 June 2024

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/MOOR.2021.0186

zbMATH Keywords

Bernoulli equationBrownian motionfree-boundary problemnonlinear Fredholm integral equationoptimal stoppingOrnstein-Uhlenbeck processpairs tradingparabolic partial differential equationquickest detectionrisk managementsignal-to-noise ratiosmooth fit

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57) Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10)

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