Two-sided disorder problem for a Brownian motion in a Bayesian setting

DOI10.1134/S0081543814080124MaRDI QIDQ492179zbMATH OpenOpenAlexFDO

Authors A. Muravlev, Albert N. Shiryaev

Publication date 20 August 2015

Published in Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0081543814080124

zbMATH Keywords

Brownian motionoptimal stoppingtwo-sided disorder problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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• Convex Analysis
• ON THE AMERICAN OPTION PROBLEM
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• On the fundamental solution of the Kolmogorov-Shiryaev equation
• On the smooth-fit principle in $ \mathbb R^n$
• The Wiener disorder problem with finite horizon

Cited in

(8)

• Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
• Monotonicity and robustness in Wiener disorder detection
• Model misspecification in discrete time Bayesian online change detection
• A Bayesian-martingale approach to the general disorder problem
• Bayesian switching multiple disorder problems
• Bayesian disorder problem for the Brownian bridge
• Multi-dimensional sequential testing and detection
• Bayesian disorder problems on filtered probability spaces

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