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On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion

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References

1983Stochastic Differential Equations and Diffusion Processes3,836 cited
1989Theory of Martingales956 cited
1963On Optimum Methods in Quickest Detection Problems839 cited
1985Optimal Detection of a Change in Distribution585 cited
1985A Diffusion Process and Its Applications to Detecting a Change in the Drift of Brownian Motion174 cited
2002Quickest Detection Problems in the Technical Analysis of the Financial Data106 cited
2006Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings55 cited

Cited by

2017Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time12 cited
2016An Analytic Expression for the Distribution of the Generalized Shiryaev–Roberts Diffusion11 cited

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