A note on sequential detection with exponential penalty for the delay

Martin Beibel

33 citations0/0 files storedThe Annals of Statistics

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Advanced Statistical Process Monitoring Probability and Statistical Research Statistical Methods and Inference

Abstract

We study the continuous time analogue of the Bayes problem of Poor. As usual the results on the optimal solution are more explicit than in the discrete time set-up.

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1988Brownian Motion and Stochastic Calculus 1963On Optimum Methods in Quickest Detection Problems 1997A New Look at Optimal Stopping Problems related to Mathematical Finance 1998Quickest detection with exponential penalty for delay

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2013Bayesian Quickest Detection Problems for Some Diffusion Processes 2007Optimal stopping via measure transformation: the Beibel–Lerche approach 2003A note on Bayesian detection of change-points with an expected miss criterion 2007Properties and Use of the Shewhart Method and Its Followers 2020Bayesian Quickest Detection of Credit Card Fraud 2010On the Wiener disorder problem 2013Bayesian Quickest Detection Problems for Some Diffusion Processes 2015Quickest Detection with Discretely Controlled Observations

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