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  • Search: subject:"Quickest detection problem"
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Year of publication
Subject
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optimal stopping 2 Agency theory 1 Asymmetric information 1 Asymmetrische Information 1 Bayes-Statistik 1 Bayesian inference 1 Bayesian persuasion 1 Brownian motion 1 Economics of information 1 Game theory 1 Girsanov’s theorem for semimartingales 1 Information design 1 Informationsökonomik 1 Itô’s formula 1 Lévy process 1 Prinzipal-Agent-Theorie 1 Quickest detection problem 1 Spieltheorie 1 Strategic agents 1 asymptotical optimality 1 compound Poisson process 1 disorder 1 disorder (quickest detection) problem 1 generalized Bayesian and minimax formulations of the quickest detection problem 1 integro-differential free-boundary problem 1 measure of jumps and its compensator 1 principles of smooth and continuous fit 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Farhadi, Farzaneh 1 Feinberg, Eugene A. 1 Gapeev, Pavel V. 1 Shiryaev, Albert N. 1 Teneketzis, Demosthenis 1
Institution
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London School of Economics (LSE) 1
Published in...
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Dynamic games and applications : DGA 1 LSE Research Online Documents on Economics 1 Statistics & Decisions 1
Source
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ECONIS (ZBW) 1 RePEc 1 Other ZBW resources 1
Showing 1 - 3 of 3
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Dynamic information design : a simple problem on optimal sequential information disclosure
Farhadi, Farzaneh; Teneketzis, Demosthenis - In: Dynamic games and applications : DGA 12 (2022) 2, pp. 443-484
Persistent link: https://www.econbiz.de/10013198705
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The disorder problem for compound Poisson processes with exponential jumps
Gapeev, Pavel V. - London School of Economics (LSE) - 2005
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of “disorder” when the observed process changes its probability characteristics. We give a partial answer to this question for some special cases of Lévy processes and present a...
Persistent link: https://www.econbiz.de/10011071106
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Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
Feinberg, Eugene A.; Shiryaev, Albert N. - In: Statistics & Decisions 24 (2006) 4, pp. 445-470
generalized Bayesian formulation of the quickest detection problem can be reduced to the optimal stopping problem for a diffusion … same procedure is asymptotically optimal for the minimax formulation of the quickest detection problem.  …
Persistent link: https://www.econbiz.de/10014621338
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