Detecting changes in real-time data: a user's guide to optimal detection
The real-time detection of changes in a noisily observed signal is an important problem in
applied science and engineering. The study of parametric optimal detection theory began in …
applied science and engineering. The study of parametric optimal detection theory began in …
Bayesian quickest detection problems for some diffusion processes
PV Gapeev, AN Shiryaev - Advances in Applied Probability, 2013 - cambridge.org
We study the Bayesian problems of detecting a change in the drift rate of an observable
diffusion process with linear and exponential penalty costs for a detection delay. The optimal …
diffusion process with linear and exponential penalty costs for a detection delay. The optimal …
[图书][B] Stochastic disorder problems
AN Shiryaev - 2019 - Springer
In the present monograph, which most directly relates to the probabilistic-statistical fields
known as “decision theory” and “statistical sequential analysis,” the main focus is on those …
known as “decision theory” and “statistical sequential analysis,” the main focus is on those …
A mean field game of sequential testing
S Campbell, Y Zhang - arXiv preprint arXiv:2403.18297, 2024 - arxiv.org
We introduce a mean field game for a family of filtering problems related to the classic
sequential testing of the drift of a Brownian motion. To the best of our knowledge this work …
sequential testing of the drift of a Brownian motion. To the best of our knowledge this work …
Optimal real-time detection of a drifting Brownian coordinate
Consider the motion of a Brownian particle in three dimensions, whose two spatial
coordinates are standard Brownian motions with zero drift, and the remaining (unknown) …
coordinates are standard Brownian motions with zero drift, and the remaining (unknown) …
Sequential testing problems for Bessel processes
Consider the motion of a Brownian particle that takes place either in a two-dimensional
plane or in three-dimensional space. Given that only the distance of the particle to the origin …
plane or in three-dimensional space. Given that only the distance of the particle to the origin …
Discounted optimal stopping problems in continuous hidden Markov models
PV Gapeev - Stochastics, 2022 - Taylor & Francis
We study a two-dimensional discounted optimal stopping problem related to the pricing of
perpetual commodity equities in a model of financial markets in which the behaviour of the …
perpetual commodity equities in a model of financial markets in which the behaviour of the …
A Dynkin game on assets with incomplete information on the return
T De Angelis, F Gensbittel… - … of Operations Research, 2021 - pubsonline.informs.org
This paper studies a two-player zero-sum Dynkin game arising from pricing an option on an
asset whose rate of return is unknown to both players. Using filtering techniques, we first …
asset whose rate of return is unknown to both players. Using filtering techniques, we first …
Pricing of perpetual American options in a model with partial information
PV Gapeev - International Journal of Theoretical and Applied …, 2012 - World Scientific
We study the perpetual American call option pricing problem in a model of a financial market
in which the firm issuing a traded asset can regulate the dividend rate by switching it …
in which the firm issuing a traded asset can regulate the dividend rate by switching it …
[HTML][HTML] An optimal sequential procedure for determining the drift of a Brownian motion among three values
B Buonaguidi - Stochastic Processes and their Applications, 2023 - Elsevier
We consider a one-dimensional Brownian motion, having a random and unobservable drift
which can take one of three known values. Assuming that we monitor the position of the …
which can take one of three known values. Assuming that we monitor the position of the …