Bayesian Quickest Detection Problems for Some Diffusion Processes
نویسندگان
چکیده
منابع مشابه
Quickest Detection Problems for Bessel Processes
Consider the motion of a Brownian particle that initially takes place in a twodimensional plane and then after some random/unobservable time continues in the three-dimensional space. Given that only the distance of the particle to the origin is being observed, the problem is to detect the time at which the particle departs from the plane as accurately as possible. We solve this problem in the m...
متن کاملOn Some Reachability Problems for Diffusion Processes
The main purpose of this paper is to discuss the minimization of energy spent in order that a controlled diffusion process reaches a given target, a d-dimensional bounded domain. The exterior Dirichlet problem for the Hamilton-Jacobi-Bellman equation is studied for a class of criteria which includes the case of energy. Extensions to diffusion with jumps, examples and some other reachability pro...
متن کاملBayesian Quickest Transient Change Detection
We consider the problem of quickest transient change detection under a Bayesian setting. The change occurs at a random time Γ1 and disappears at a random time Γ2 > Γ1. Thus, at any time k, the system can be in one of the following states, i) prechange, ii) in–change, and iii) out–of–change. We model the evolution of the state by a Markov chain. The state of the system can only be observed parti...
متن کاملBayesian Quickest Detection in Sensor Arrays
Abstract: We study Bayesian quickest detection problems with sensor arrays. An underlying signal is assumed to gradually propagate through a network of several sensors, triggering a cascade of inter-dependent change-points. The aim of the decision-maker is to centrally fuse all available information to find an optimal detection rule that minimizes Bayes risk. We develop a tractable continuous-t...
متن کاملOn Some Cheap Control Problems for Diffusion Processes
We consider several cases of control problems for diffusion processes when the payoff functional does not depend explicitly on the control. We prove the continuity of the optimal cost function and give a characterization of this cost with a quasi-variational inequality interpreting the problem as limit of an impulse control problem when the cost of impulse tends to zero. Moreover, we show the e...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2013
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800006236