The general discrete time disorder problem

DOI10.1080/17442508708833438MaRDI QIDQ4727931zbMATH OpenOpenAlexFDO

Authors Lionel Pelkowitz

Publication date 1987

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508708833438

zbMATH Keywords

abstract model of the disorder of a discrete time stochastic processoptimal stoppingstopping rule to detect the disorder

Mathematics Subject Classification ID

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

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Cites work

• Dynamic realizations of sufficient sequences
• scientific article; zbMATH DE number 3498996 (Why is no real title available?)
• On a generalized disorder problem
• On Optimum Methods in Quickest Detection Problems
• Optimal detection of a change in distribution
• The general markov chain disorder problem

Cited in

(21)

• Policy structure for discrete time Markov chain disorder problems
• Detecting changes in signals and systems - a survey
• Quickest detection with exponential penalty for delay
• Optimal control problems with disorder
• Disorder problem for self-exciting process
• Monte Carlo methods for adaptive disorder problems
• To the discord problem for a jump-like Markov process
• The general markov chain disorder problem
• On the linear and nonlinear generalized Bayesian disorder problem (discrete time case)
• On stochastic models and optimal methods in the quickest detection problems
• The optimal forecasting for the multinomial scheme with disorder
• scientific article; zbMATH DE number 3965812 (Why is no real title available?)
• scientific article; zbMATH DE number 4090630 (Why is no real title available?)
• Stochastic disorder problems
• An Equation for the a Posteriori Probability of Disorder in a Sequence of Dependent Random Variables and Shiryaev-Optimal Detection of the Time of Occurrence of Disorder
• On a random number of disorders
• On a Formulation of the Multiple"Disorder" Problem
• Control in Binary Models with Disorder
• scientific article; zbMATH DE number 2226430 (Why is no real title available?)
• Compound Poisson disorder problem with uniformly distributed disorder time
• On a generalized disorder problem

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