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  • Search: subject:"generalized Bayesian and minimax formulations of the quickest detection problem"
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Brownian motion 1 asymptotical optimality 1 disorder 1 generalized Bayesian and minimax formulations of the quickest detection problem 1 optimal stopping 1
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Feinberg, Eugene A. 1 Shiryaev, Albert N. 1
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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
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...
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