Quickest detection problems for Ornstein-Uhlenbeck processes

DOI10.1287/MOOR.2021.0186zbMATH Open1540.60073MaRDI QIDQ6563025FDOQ6563025

Authors: Kristoffer J. Glover, Goran Peskir 

Publication date: 27 June 2024

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

zbMATH Keywords

Ornstein-Uhlenbeck processBrownian motionsignal-to-noise ratiofree-boundary problemoptimal stoppingrisk managementsmooth fitBernoulli equationpairs tradingparabolic partial differential equationquickest detectionnonlinear Fredholm integral equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) 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)

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