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 originale | Inglese |
|---|---|
| pagine (da-a) | 224-238 |
| Numero di pagine | 15 |
| Rivista | Journal of Optimization Theory and Applications |
| Volume | 198 |
| Numero di pubblicazione | 1 |
| DOI | |
| Stato di pubblicazione | Pubblicato - 2023 |
All Science Journal Classification (ASJC) codes
- Controllo e Ottimizzazione
- Scienze della Gestione e Ricerca Operativa
- Matematica Applicata
Keywords
- Brownian motion
- Exponential penalty
- Finite horizon
- Optimal stopping
- Sequential analysis
- Sequential detection
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