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...