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Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings

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Cited by

2010State-of-the-Art in Bayesian Changepoint Detection54 cited
2009Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions

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49 cited

2009On Stochastic Models and Optimal Methods in the Quickest Detection Problems28 cited

2012Bayesian Quickest Detection in Sensor Arrays27 cited

2017Detecting changes in real-time data: a user’s guide to optimal detection19 cited

2013Quickest Change-Point Detection: A Bird's Eye View16 cited

2009On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion14 cited

2017On the quasi-stationary distribution of the Shiryaev–Roberts diffusion12 cited

2017Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time12 cited

2008Exact optimality of the Shiryaev-Roberts procedure for detecting changes in distributions11 cited

2016An Analytic Expression for the Distribution of the Generalized Shiryaev–Roberts Diffusion11 cited

2010Wiener Disorder Problem with Observations at Fixed Discrete Time Epochs10 cited