Hierarchical Quickest Change Detection via Surrogates

Quickest Detection with Social Learning: Interaction of local and global decision makers

We consider how local and global decision policies interact in stopping time problems such as quickest time change detection. Individual agents make myopic local decisions via social learning, that is, each agent records a private observation of a noisy underlying state process, selfishly optimizes its local utility and then broadcasts its local decision. Given these local decisions, how can a ...

Real-time financial surveillance via quickest change-point detection methods

Data-Efficient Quickest Change Detection

In the classical problem of quickest change detection, a decision maker observes a sequence of random variables. At some point in time, the distribution of the random variables changes abruptly. The objective is to detect this change in distribution with minimum possible delay, subject to a constraint on the false alarm rate. In many applications of quickest change detection, e.g., where the ch...

Quickest Detection of Drift Change for Brownian Motion in Generalized Bayesian and Minimax Settings

The paper deals with the quickest detection of a change of the drift of the Brownian motion. We show that the generalized Bayesian formulation of the quickest detection problem can be reduced to the optimal stopping problem for a diffusion Markov process. For this problem the optimal procedure is described and its characteristics are found. We show also that the same procedure is asymptotically...

Quickest detection of intensity change for Poisson process in generalized Bayesian setting

The paper deals with the quickest detection of intensity change for Poisson process. We show that the generalized Bayesian formulation of the quickest detection problem can be reduced to the conditional-extremal optimal stopping problem for a piecewise-deterministic Markov process. For this problem the optimal procedure is described and its characteristics are found.