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Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
5 references·0 citing·22 second hop
Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics (2008)Generalized Bayesian Nonlinear Quickest D…Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings (2006)Quickest detection of drift c…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Statistics of Random Processes (2001)Statistics of Random ProcessesA note on sequential detection with exponential penalty for the delay (2000)A note on sequential detectio…Quickest detection with exponential penalty for delay (1998)Quickest detection with expon…On Optimum Methods in Quickest Detection Problems (1963)Brownian Motion and Stochastic Calculus (1988)A New Look at Optimal Stopping Problems related to Mathematical Finance (1997)A note on Bayesian detection of change-points with an expected miss criterion (2003)Optimal stopping via measure transformation: the Beibel–Lerche approach (2007)Bayesian Quickest Detection Problems for Some Diffusion Processes (2013)CONTINUOUS INSPECTION SCHEMES (1954)Procedures for Reacting to a Change in Distribution (1971)Optimal stopping and free-boundary problems (2006)Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions (2009)On Stochastic Models and Optimal Methods in the Quickest Detection Problems (2009)State-of-the-Art in Bayesian Changepoint Detection (2010)Detection of Abrupt Changes: Theory and Applications. (1995)Sequential change detection revisited (2008)Optimal Sequential Surveillance for Finance, Public Health, and Other Areas (2009)Bayesian Sequential Detection With Phase-Distributed Change Time and Nonlinear Penalty—A POMDP Lattice Programming Approach (2011)Robust control and model misspecification (2006)Asset Prices and Exchange Rates (2007)An Institutional Theory of Momentum and Reversal (2013)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2001Statistics of Random Processes514 cited
  • 1998Quickest detection with exponential penalty for delay75 cited
  • 2006Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings55 cited
  • 2000A note on sequential detection with exponential penalty for the delay33 cited

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