Adaptive Poisson disorder problem

DOI10.1214/105051606000000312zbMath1104.62093arXivmath/0610184MaRDI QIDQ862204

Ioannis Karatzas, Erhan Bayraktar, Savas Dayanik

Publication date: 5 February 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610184

zbMATH Keywords

optimal stopping; quickest detection; Poisson disorder problem

Mathematics Subject Classification ID

62C10: Bayesian problems; characterization of Bayes procedures

62M99: Inference from stochastic processes

60G40: Stopping times; optimal stopping problems; gambling theory

62L10: Sequential statistical analysis

62L15: Optimal stopping in statistics

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Cites Work

• Adaptive Poisson disorder problem
• Sequential change-point detection in continuous time when the post-change drift is unknown
• The standard Poisson disorder problem revisited
• Optimal stopping of a piecewise-deterministic markov process
• Poisson Disorder Problem with Exponential Penalty for Delay
• Stochastic differential equations. An introduction with applications.
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