Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions
نویسندگان
چکیده
منابع مشابه
Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions
The quickest detection of the unknown and unobservable disorder time, when the arrival rate and mark distribution of a compound Poisson process suddenly changes, is formulated in a Bayesian setting, where the detection delay penalty is a general smooth function of the detection delay time. Under suitable conditions, the problem is shown to be equivalent to the optimal stopping of a finite-dimen...
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In compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process change suddenly at some unknown and unobservable time. The problem is to detect the change (or disorder) time as quickly as possible. A sudden regime-shift may require some counter-measures be taken promptly, and a quickest detection rule can help with those efforts. We describe complete...
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ژورنال
عنوان ژورنال: Sequential Analysis
سال: 2010
ISSN: 0747-4946,1532-4176
DOI: 10.1080/07474941003741227