Erhan Bayraktar, Erik Ekström, Jia Guo, “Disorder detection with costly observations”, J. Appl. Probab., 59:2 (2022), 338
B. Buonaguidi, “The disorder problem for diffusion processes with the ϵ-linear and expected total miss criteria”, Statistics & Probability Letters, 189 (2022), 109548
Bruno Buonaguidi, “On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay”, Electron. Commun. Probab., 26:none (2021)
Pavel V. Gapeev, Yavor I. Stoev, “On some functionals of the first passage times in jump models of stochastic volatility”, Stochastic Analysis and Applications, 38:1 (2020), 149
Liang Cai, “Quickest detection of an accumulated state-dependent change point”, Sequential Analysis, 39:2 (2020), 230
B. Buonaguidi, “The disorder problem for purely jump Lévy processes with completely monotone jumps”, Journal of Statistical Planning and Inference, 205 (2020), 203
Thomas Kruse, Philipp Strack, “An Inverse Optimal Stopping Problem for Diffusion Processes”, Mathematics of OR, 44:2 (2019), 423
Pavel V. Gapeev, Hessah Al Motairi, “Perpetual American Defaultable Options in Models with Random Dividends and Partial Information”, Risks, 6:4 (2018), 127
PAVEL V. GAPEEV, OLIVER BROCKHAUS, MATHIEU DUBOIS, “ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY”, Int. J. Theor. Appl. Finan., 21:01 (2018), 1850001
P. Johnson, J. Moriarty, G. Peskir, “Detecting changes in real-time data: a user's guide to optimal detection”, Phil. Trans. R. Soc. A., 375:2100 (2017), 20160298