The standard Poisson disorder problem revisited

Stochastic Processes and their Applications

Volumn 115, Issue 9, 2005, Pages 1437-1450

  Bayraktar, Erhan ^a   Dayanik, Savas ^b,c   Karatzas, Ioannis ^d  

^a UNIVERSITY OF MICHIGAN   (United States)

^b Princeton University   (United States)

^c PRINCETON UNIVERSITY   (United States)

^d Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Differential delay equations; Optimal stopping; Poisson disorder problem; Quickest detection

Indexed keywords

BOUNDARY VALUE PROBLEMS; DIFFERENTIAL EQUATIONS; INTEGRAL EQUATIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; NUMERICAL METHODS; OPTIMIZATION; THEOREM PROVING;

DIFFERENTIAL DELAY EQUATIONS; OPTIMAL STOPPING; POISSON DISORDER PROBLEM; QUICKEST DETECTION;

POISSON DISTRIBUTION;

EID: 23044454282     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2005.04.011     Document Type: Article

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