Quickest Detection Problems for Bessel Processes
نویسندگان
چکیده
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 most uncertain scenario when the random/unobservable time is (i) exponentially distributed and (ii) independent from the initial motion of the particle in the plane.
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