Finite Horizon Sequential Detection with Exponential Penalty for the Delay

Bruno Buonaguidi*

*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivistaArticolo in rivista

Abstract

The problem of the sequential detection of a change in the drift of a one-dimensional Brownian motion is considered under the assumptions that the detection must eventually occur within a finite horizon and the detection delay is exponentially penalized. Our results extend those obtained by Beibel for the infinite horizon sequential detection with exponential penalty (Ann Stat 28:1696-1701, 2000) and by Gapeev and Peskir for the finite horizon sequential detection with linear penalty (Stoch Process Appl 116:1770-1791, 2006).
Lingua originaleEnglish
pagine (da-a)224-238
Numero di pagine15
RivistaJournal of Optimization Theory and Applications
Volume198
DOI
Stato di pubblicazionePubblicato - 2023

Keywords

  • Brownian motion
  • Exponential penalty
  • Sequential detection
  • Optimal stopping
  • Sequential analysis
  • Finite horizon

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