Quickest change-point detection problems for multidimensional Wiener processes

DOI10.1007/S11009-024-10124-8MaRDI QIDQ7027062zbMATH OpenFDO

Authors Pavel Gapeev, Yavor I. Stoev

Publication date 14 February 2025

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11009-024-10124-8

zbMATH Keywords

change point detection problemmultidimensional Wiener processnonlinear Fredholm integral equationoptimal stoppingpartial differential free boundary problemstochastic boundary

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Fredholm integral equations (45B99) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Optimal stopping in statistics (62L15) Inference from stochastic processes and prediction (62M20)

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