Adaptive Poisson disorder problem
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Publication:862204
DOI10.1214/105051606000000312zbMATH Open1104.62093arXivmath/0610184OpenAlexW2073187583MaRDI QIDQ862204FDOQ862204
Authors: Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas 
Publication date: 5 February 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a known value to an unknown and unobservable value at an unknown and unobservable disorder time. Our objective is to design an alarm time which is adapted to the history of the arrival process and detects the disorder time as soon as possible. In previous solvable versions of the Poisson disorder problem, the arrival rate after the disorder has been assumed a known constant. In reality, however, we may at most have some prior information about the likely values of the new arrival rate before the disorder actually happens, and insufficient estimates of the new rate after the disorder happens. Consequently, we assume in this paper that the new arrival rate after the disorder is a random variable. The detection problem is shown to admit a finite-dimensional Markovian sufficient statistic, if the new rate has a discrete distribution with finitely many atoms. Furthermore, the detection problem is cast as a discounted optimal stopping problem with running cost for a finite-dimensional piecewise-deterministic Markov process. This optimal stopping problem is studied in detail in the special case where the new arrival rate has Bernoulli distribution. This is a nontrivial optimal stopping problem for a two-dimensional piecewise-deterministic Markov process driven by the same point process. Using a suitable single-jump operator, we solve it fully, describe the analytic properties of the value function and the stopping region, and present methods for their numerical calculation. We provide a concrete example where the value function does not satisfy the smooth-fit principle on a proper subset of the connected, continuously differentiable optimal stopping boundary, whereas it does on the complement of this set.
Full work available at URL: https://arxiv.org/abs/math/0610184
Recommendations
Inference from stochastic processes (62M99) Sequential statistical analysis (62L10) Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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- Asset liquidation under drift uncertainty and regime-switching volatility
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- On optimal stopping of risk processes with regime switching
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