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A dynamic sampling approach for detecting a change in distribution. (English) Zbl 0658.62092
The author considers the problem of detecting a change in the drift of Brownian motion where the time of change is unknown but is assumed to have a known exponential distribution. Additionally to the problem of finding an optimal stopping rule for declaring a change, the option of continuously controlling the sampling rate is treated and solved in the framework of stochastic control theory.
Reviewer: A.Irle

MSC:
62L05 Sequential statistical design
62L15 Optimal stopping in statistics
62P30 Applications of statistics in engineering and industry; control charts
60J60 Diffusion processes
60J65 Brownian motion
93E20 Optimal stochastic control
62M99 Inference from stochastic processes
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