On the sequential testing and quickest change-point detection problems for Gaussian processes
Author:
Affiliation:
1. Department of Mathematics, London School of Economics, London, UK.
2. Department of Mathematics, University of Michigan, Ann Arbor, MI, USA.
Funder
Alexander von Humboldt-Stiftung
Alexander von Humboldt Foundation
Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2017.1284222
Reference41 articles.
1. The standard Poisson disorder problem revisited
2. Adaptive Poisson disorder problem
3. The Valuation of American Options on Multiple Assets
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