Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2009, Number 2, Pages 69–71 (Mi vmumm865)  
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A problem of the fastest detection of regime changing for Levy processes

Ph. A. Ustinov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (209 kB)
Abstract: The optimal stopping time for the quickest regime change detection (disorder) problem in the generalized Bayesian setting is determined for an arbitrary Levy process.
Key words: quickest detection of regime change, disorer problem, generalized Bayesian setting, Levy processes, Shiryaev process.
Received: 17.09.2008
Bibliographic databases:
Document Type: Article
UDC: 519.217.3
Language: Russian
Citation: Ph. A. Ustinov, “A problem of the fastest detection of regime changing for Levy processes”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2009, no. 2, 69–71
Citation in format AMSBIB
\Bibitem{Ust09}
\by Ph.~A.~Ustinov
\paper A problem of the fastest detection of regime changing for Levy processes
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2009
\issue 2
\pages 69--71
\mathnet{http://mi.mathnet.ru/vmumm865}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2543177}
\zmath{https://zbmath.org/?q=an:1304.60056}
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