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ChapterSolving the Poisson Disorder Problem

Goran Peškir2002

Chapter2002

Solving the Poisson Disorder Problem

Goran Peškir · Albert Nikolaevich Shiryaev

116 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Probability and Statistical Research Advanced Statistical Process Monitoring

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References

1987Limit Theorems for Stochastic Processes

Cited by

2006The Wiener disorder problem with finite horizon 2005The standard Poisson disorder problem revisited 2006Compound Poisson Disorder Problem 2006Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models 2012Precautionary measures for credit risk management in jump models 2008The McKean stochastic game driven by a spectrally negative Lévy process 2004Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes 2006Poisson Disorder Problem with Exponential Penalty for Delay

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Year2002

Typechapter

Published2002-01-01

VenueSpringer eBooks

Languageen

Citations116

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-04790-3_16

openalex_workW2109410136

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