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Volumn 16, Issue 3, 2006, Pages 1190-1261

Adaptive poisson disorder problem

Author keywords

Optimal stopping; Poisson disorder problem; Quickest detection

Indexed keywords


EID: 33750534344     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000312     Document Type: Article
Times cited : (48)

References (17)
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    • Adaptive Poisson disorder problem
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    • BAYRAKTAR, E., DAYANIK, S. and KARATZAS, I. (2004). Adaptive Poisson disorder problem. Working paper, Princeton Univ. Available at http://www.princeton.edu/~sdayanik/papers/bayes.pdf.
    • (2004) Working Paper
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    • BAYRAKTAR, E., DAYANIK, S. and KARATZAS, I. (2005). The standard Poisson disorder problem revisited. Stochastic Process. Appl. 115 1437-1450. MR2158013
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    • Bayraktar, E.1    Dayanik, S.2    Karatzas, I.3
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    • MR1483699
    • BEIBEL, M. (1997). Sequential change-point detection in continuous time when the postchange drift is unknown. Bernoulli 3 457-478. MR1483699
    • (1997) Bernoulli , vol.3 , pp. 457-478
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  • 5
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    • (Y. Haitovsky, H. R. Lerche and Y. Ritov, eds.). Physica, Heidelberg. MR2017819
    • BEIBEL, M. and LERCHE, H. R. (2003). Sequential Bayes detection of trend changes. In Foundations of Statistical Inference (Y. Haitovsky, H. R. Lerche and Y. Ritov, eds.) 117-130. Physica, Heidelberg. MR2017819
    • (2003) Foundations of Statistical Inference , pp. 117-130
    • Beibel, M.1    Lerche, H.R.2
  • 8
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    • A note on the Poisson disorder problem
    • DAVIS, M. H. A. (1976). A note on the Poisson disorder problem. Banach Center Publ. 1 65-72.
    • (1976) Banach Center Publ. , vol.1 , pp. 65-72
    • Davis, M.H.A.1
  • 10
    • 23044440682 scopus 로고
    • The disorder problem for a Poisson process
    • MR0297028
    • GALCHUK, L. I. and ROZOVSKII, B. L. (1971). The disorder problem for a Poisson process. Theory Probab. Appl. 16 729-734. MR0297028
    • (1971) Theory Probab. Appl. , vol.16 , pp. 729-734
    • Galchuk, L.I.1    Rozovskii, B.L.2
  • 11
    • 33750528652 scopus 로고
    • Optimal stopping of a piecewise-deterministic Markov process
    • MR0872462
    • GUGERLI, U.S. (1986). Optimal stopping of a piecewise-deterministic Markov process. Stochastics 19 221-236. MR0872462
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  • 15
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    • Solving the Poisson disorder problem
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    • PESKIR, G. and SHIRYAEV, A. N. (2002). Solving the Poisson disorder problem. In Advances in Finance and Stochastics (K. Sandmann and P. J. Schönbucher, eds.) 295-312. Springer, Berlin. MR1929384
    • (2002) Advances in Finance and Stochastics , pp. 295-312
    • Peskir, G.1    Shiryaev, A.N.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.