Bayesian Disorder Problems on Filtered Probability Spaces
Authors:
- M. V. ZhitlukhinMZM. V. Zhitlukhin
- A. N. ShiryaevASA. N. Shiryaev
- 1 January 2013
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in Theory of Probability & Its Applications
- Vol. 57 (3) , 497-511
Abstract
We formulate a general Bayesian disorder detection problem, which generalizes models considered in the literature. We study properties of basic statistics, which allow us to reduce problems of quickest detection of disorder moments to optimal stopping problems. Using general results, we consider in detail a disorder problem for Brownian motion on a finite time segment.Keywords
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