The Wiener disorder problem with finite horizon

DOI10.1016/J.SPA.2006.04.005MaRDI QIDQ860699zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Wiener processoptimal stoppingcurved boundarychange-of-variable formula with local time on curvesnonlinear Volterra integral equation of the second kindparabolic free-boundary problem

Mathematics Subject Classification ID

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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• CONTINUOUS INSPECTION SCHEMES
• ON THE AMERICAN OPTION PROBLEM
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Cited in

(32)

• Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
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• On the problems of sequential statistical inference for Wiener processes with delayed observations
• Wiener disorder problem with observations at fixed discrete time epochs
• Discounted optimal stopping problems in continuous hidden Markov models
• Two-sided disorder problem for a Brownian motion in a Bayesian setting
• Finite horizon sequential detection with exponential penalty for the delay
• 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
• The change-point problem for continuous martingales
• Bayesian quickest detection problems for some diffusion processes
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• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
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• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
• 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
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• 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
• 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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