Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Vestnik Moskov. Univ. Ser. 1. Mat. Mekh.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2009, Number 2, Pages 69–71 (Mi vmumm865)  
Short notes

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}
Linking options:
  • https://www.mathnet.ru/eng/vmumm865
  • https://www.mathnet.ru/eng/vmumm/y2009/i2/p69
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2025