Quickest detection in the Wiener disorder problem with post-change uncertainty-Reference-Cited by-同舟云学术

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Quickest detection in the Wiener disorder problem with post-change uncertainty

Published:2017-01-09 Issue:3-4 Volume:89 Page:654-685
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Yang Heng¹,Hadjiliadis Olympia²³,Ludkovski Michael⁴

Affiliation:

1. Department of Mathematics, Graduate Center of City University of New York, New York, NY, USA.

2. Department of Mathematics and Computer science, Graduate Center of City University of New York, New York, NY, USA.

3. Department of Mathematics and Statistics, Hunter College, New York, NY, USA.

4. Department of Statistics and Applied Probability, University of California Santa Barbara, Santa Barbara, CA, USA.

Funder

NSF-DMS-ATD

PSC-CUNY

CUNY Collaborative

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2016.1276908

Reference26 articles.

1. Adaptive Poisson disorder problem

2. Sequential Change-Point Detection in Continuous Time When the Post-Change Drift Is Unknown

3. Handbook of Brownian Motion - Facts and Formulae

4. Multisource Bayesian sequential change detection

5. First passage time distribution of a Wiener process with drift concerning two elastic barriers

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