The disorder problem for compound Poisson processes with exponential jumps

DOI10.1214/105051604000000981MaRDI QIDQ1774227zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev

Publication date 29 April 2005

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

Full work available at URL https://arxiv.org/abs/math/0503481

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder when the observed process changes its probability characteristics. We give a partial answer to this question for some special cases of Levy processes and present a complete solution of the Bayesian and variational problem for a compound Poisson process with exponential jumps. The method of proof is based on reducing the Bayesian problem to an integro-differential free-boundary problem where, in some cases, the smooth-fit principle breaks down and is replaced by the principle of continuous fit.

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Cited in

(25)

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• Finite horizon sequential detection with exponential penalty for the delay
• Bayesian quickest detection of credit card fraud
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• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
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• Compound Poisson disorder problem with general disorder prior density
• Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem

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