The Wiener disorder problem with finite horizon
نویسندگان
چکیده
منابع مشابه
The Wiener Disorder Problem with Finite Horizon
The Wiener disorder problem seeks to determine a stopping time which is as close as possible to the (unknown) time of ’disorder’ when the drift of an observed Wiener process changes from one value to another. In this paper we present a solution of the Wiener disorder problem when the horizon is finite. The method of proof is based on reducing the initial problem to a parabolic free-boundary pro...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2006
ISSN: 0304-4149
DOI: 10.1016/j.spa.2006.04.005