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

نویسنده

  • Evgeniy Burnaev
چکیده

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.

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تاریخ انتشار 2007