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Teoriya Veroyatnostei i ee Primeneniya, 2008, Volume 53, Issue 3, Pages 534–556
DOI: https://doi.org/10.4213/tvp2447 (Mi tvp2447) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Disorder Problem for Poisson Process in Generalized Bayesian Setting

E. V. Burnaev

Moscow Institute of Physics and Technology
Full-text PDF (2199 kB) Citations (3)
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DOI: https://doi.org/10.4213/tvp2447
Abstract: This paper deals with the quickest detection of a change of the intensity of the Poisson process. We show that the generalized Bayesian formulation of the quickest detection problem can be reduced to the conditional-extremal optimal stopping problem for a piecewise-deterministic Markov process. The optimal procedure for the disorder problem is obtained and asymptotics of the Bayesian risk function is calculated.
Keywords: disorder, Poisson process, optimal stopping, differential-difference equation, free-boundary problem, continuous-fit condition, smooth-fit condition, Bayesian risk.
Received: 13.08.2007
Revised: 02.02.2008
English version:
Theory of Probability and its Applications, 2009, Volume 53, Issue 3, Pages 500–518
DOI: https://doi.org/10.1137/S0040585X9798378X
Bibliographic databases:
Language: Russian
Citation: E. V. Burnaev, “Disorder Problem for Poisson Process in Generalized Bayesian Setting”, Teor. Veroyatnost. i Primenen., 53:3 (2008), 534–556; Theory Probab. Appl., 53:3 (2009), 500–518
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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