Disorder detection with costly observations
نویسندگان
چکیده
Abstract We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, strategy pair consisting of sequence times and stopping time corresponding to declaration disorder. characterize minimal cost costly observations as unique fixed point certain jump operator, we determine optimal strategy.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2022
ISSN: ['1475-6072', '0021-9002']
DOI: https://doi.org/10.1017/jpr.2021.63