On the Wiener disorder problem
From MaRDI portal
Publication:990391
DOI10.1214/09-AAP655zbMath1203.62136arXiv1010.4617MaRDI QIDQ990391
Publication date: 1 September 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.4617
62P05: Applications of statistics to actuarial sciences and financial mathematics
62C10: Bayesian problems; characterization of Bayes procedures
60G40: Stopping times; optimal stopping problems; gambling theory
62L10: Sequential statistical analysis
62M07: Non-Markovian processes: hypothesis testing
62L15: Optimal stopping in statistics
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