The Wiener disorder problem with finite horizon
DOI10.1016/J.SPA.2006.04.005zbMATH Open1105.60027OpenAlexW2108525677MaRDI QIDQ860699FDOQ860699
Authors: Pavel Gapeev, Goran Peskir 
Publication date: 9 January 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.04.005
Recommendations
Wiener processoptimal stoppingcurved boundarychange-of-variable formula with local time on curvesnonlinear Volterra integral equation of the second kindparabolic free-boundary problem
Inference from stochastic processes and prediction (62M20) Bayesian problems; characterization of Bayes procedures (62C10) Free boundary problems for PDEs (35R35) Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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Cited In (32)
- Discounted optimal stopping problems in continuous hidden Markov models
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- Wiener disorder problem with observations at fixed discrete time epochs
- On the problems of sequential statistical inference for Wiener processes with delayed observations
- Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
- Finite horizon sequential detection with exponential penalty for the delay
- Two-sided disorder problem for a Brownian motion in a Bayesian setting
- An iterative procedure for solving integral equations related to optimal stopping problems
- Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
- Bayesian quickest detection problems for some diffusion processes
- The change-point problem for continuous martingales
- Optimally stopping the sample mean of a Wiener process with an unknown drift
- Quickest detection with discretely controlled observations
- FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
- Detecting changes in real-time data: a user's guide to optimal detection
- Author's Response
- On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
- Sequential sensor installation for Wiener disorder detection
- The disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteria
- Disorder detection with costly observations
- On the sequential testing and quickest change-point detection problems for Gaussian processes
- The disorder problem for purely jump Lévy processes with completely monotone jumps
- Optimal control problems with disorder
- Credit default swaps in two-dimensional models with various informations flows
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- Quickest real-time detection of a Brownian coordinate drift
- On the Wiener disorder problem
- Probability law and flow function of Brownian motion driven by a generalized telegraph process
- The Wiener continuous disorder problem
- Defaultable claims in switching models with partial information
- Bayesian quickest detection of credit card fraud
- Detection of disorder before an observable event
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