The Wiener continuous disorder problem

DOI10.1134/S1064562413030125MaRDI QIDQ378178zbMATH OpenOpenAlexFDO

Authors A. F. Aliev

Publication date 11 November 2013

Published in Doklady Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1064562413030125

zbMATH Keywords

Bayesian quickest disorder (change-point) detection probleminnovation Brownian motionordinary free-boundary problemposterior probability

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Brownian motion (60J65) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Review text

The author proposes an original Bayesian quickest change-point detection problem for an observable Brownian motion, in the case in which the disorder process is driven by a Browinan motion constantly correlated with the observable process. The original problem is reduced to an ordinary free-boundary problem which is solvable in a closed form. The appropriate verification assertion is provided. The associated time-inhomogeneous case is also considered.

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Cites work

• A Bayesian-martingale approach to the general disorder problem
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Cited in

(12)

• scientific article; zbMATH DE number 1724306 (Why is no real title available?)
• On confidence intervals for Brownian motion change point times
• Bayesian disorder problems on filtered probability spaces
• Bayesian disorder problem for the Brownian bridge
• Quickest detection in the Wiener disorder problem with post-change uncertainty
• Bayesian switching multiple disorder problems
• Detection of disorder before an observable event
• The change-point problem for continuous martingales
• On the sequential testing and quickest change-point detection problems for Gaussian processes
• Monotonicity and robustness in Wiener disorder detection
• The Wiener disorder problem with finite horizon
• On the Wiener disorder problem

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