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Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
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Eugene A. Feinberg
Veröffentlicht/Copyright:
25. September 2009
The paper deals with the quickest detection of a change of the drift of the Brownian motion. We show that the generalized Bayesian formulation of the quickest detection problem can be reduced to the optimal stopping problem for a diffusion Markov process. For this problem the optimal procedure is described and its characteristics are found. We show also that the same procedure is asymptotically optimal for the minimax formulation of the quickest detection problem.
Keywords: Brownian motion; disorder; generalized Bayesian and minimax formulations of the quickest detection problem; optimal stopping; asymptotical optimality
:
Received: 2006-November-17
Accepted: 2006-February-14
Published Online: 2009-09-25
Published in Print: 2006-10
© Oldenbourg Wissenschaftsverlag
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Schlagwörter für diesen Artikel
Brownian motion;
disorder;
generalized Bayesian and minimax formulations of the quickest detection problem;
optimal stopping;
asymptotical optimality
Artikel in diesem Heft
- On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ
- On utility-based derivative pricing with and without intermediate trades
- Pure self-financing trading strategies under transaction costs
- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
