Solving the Poisson disorder problem
The authors consider a Poisson disorder problem and find an optimal stopping time. Let \(N^{\lambda_0}= (N^{\lambda_0}_t)_{t\geq 0}\) and \(N^{\lambda_1}= (N^{\lambda_1}_t)_{t\geq 0}\) be Poisson processes with intensities \(\lambda_0> 0\) and \(\lambda_1> 0\), respectively, and let \(L= (L_t)_{t\geq 0}\) be a continuous Markov chain with two states \(\lambda_0\) and \(\lambda_1\), initial distribution \([1-\pi,\pi]\), and transition probability matrix \([e^{-\lambda t},1- e^{-\lambda t}; 0,1]\) for \(t> 0\) where \(\lambda> 0\). The observed process \(X= (X_t)_{t\geq 0}\) is given by \[ X_t= \int^t_0 I(L_{s-}= \lambda_0) dN^{\lambda_0}_s+ \int^t_0 I(L_{s-}= \lambda_1) dN^{\lambda_1}_s. \] Let \({\mathcal F}^X_t= \sigma(X_s\mid 0\leq s\leq t)\) and \(\theta= \inf\{t\geq 0\mid L_t= \lambda_1\}\). Then the Poisson disorder problem is to find a stopping time of \(X\) with respect to \(({\mathcal F}^X_t)_{t\geq 0}\) that is as close as possible to \(\theta\) as a solution to \[ V(\pi)= \inf_\tau(P_\pi(\tau< \theta)+ cE_\pi(\tau- \theta)^+), \] which is equivalent to \[ V(\pi)= \inf_\tau E_\pi\left((1- \pi_t)+ c \int^\tau_0 \pi_t dt\right), \] where \(c> 0\) is a given constant and a posteriori probability process \(\pi_t\) is \(\pi_t= P_\pi\) \((\theta\leq t\mid{\mathcal F}^X_t)\). Then they show that \(V(\pi)\) is concave and decreasing in \(\pi\in [0,1]\), and that an optimal stopping time is \(\tau^*= \inf\{t\geq 0\mid\pi_t\geq B_*\}\) for some \(B_*\), which is explicitly given by desribing the sample path behaviour of the a posteriori probability process and by using the existence of singularity point of the free-boundary equation. For the entire collection see [Zbl 0986.00085].
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- Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process
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- The Wiener disorder problem with finite horizon
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- Monitoring a Poisson process in several categories subject to changes in the arrival rates
- Optimal detection of a change-set in a spatial Poisson process
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