Buonaguidi, Bruno On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay. (English) Zbl 1496.60035 Electron. Commun. Probab. 26, Paper No. 73, 12 p. (2021). Reviewer: Pavel Gapeev (London) MSC: 60G40 60J60 62C10 62L15 PDF BibTeX XML Cite \textit{B. Buonaguidi}, Electron. Commun. Probab. 26, Paper No. 73, 12 p. (2021; Zbl 1496.60035) Full Text: DOI OpenURL
Gapeev, Pavel V. On the problems of sequential statistical inference for Wiener processes with delayed observations. (English) Zbl 1452.62597 Stat. Pap. 61, No. 4, 1529-1544 (2020). MSC: 62L10 62L15 62G10 60G40 60J60 PDF BibTeX XML Cite \textit{P. V. Gapeev}, Stat. Pap. 61, No. 4, 1529--1544 (2020; Zbl 1452.62597) Full Text: DOI OpenURL
Shiryaev, Albert N. Stochastic disorder problems. (English) Zbl 1426.93002 Probability Theory and Stochastic Modelling 93. Cham: Springer (ISBN 978-3-030-01525-1/hbk; 978-3-030-01526-8/ebook). xix, 397 p. (2019). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 93-02 60-02 93E03 93E10 62C10 60G40 60G22 60J65 91G99 PDF BibTeX XML Cite \textit{A. N. Shiryaev}, Stochastic disorder problems. Cham: Springer (2019; Zbl 1426.93002) Full Text: DOI OpenURL
Sarnowski, Wojciech; Szajowski, Krzysztof Unspecified distributions in single disorder problem. (English) Zbl 1420.91347 Appl. Stoch. Models Bus. Ind. 34, No. 5, 700-717 (2018). MSC: 91B64 91B62 60J20 60G40 PDF BibTeX XML Cite \textit{W. Sarnowski} and \textit{K. Szajowski}, Appl. Stoch. Models Bus. Ind. 34, No. 5, 700--717 (2018; Zbl 1420.91347) Full Text: DOI arXiv OpenURL
Ochman-Gozdek, Aleksandra; Sarnowski, Wojciech; Szajowski, Krzysztof Precision of sequential change point detection. (English) Zbl 1386.60155 Appl. Math. 44, No. 2, 267-280 (2017). MSC: 60G40 60K99 PDF BibTeX XML Cite \textit{A. Ochman-Gozdek} et al., Appl. Math. 44, No. 2, 267--280 (2017; Zbl 1386.60155) Full Text: DOI arXiv OpenURL
Yang, Heng; Hadjiliadis, Olympia; Ludkovski, Michael Quickest detection in the Wiener disorder problem with post-change uncertainty. (English) Zbl 1361.60029 Stochastics 89, No. 3-4, 654-685 (2017). MSC: 60G40 62L10 62L15 62C20 93E20 PDF BibTeX XML Cite \textit{H. Yang} et al., Stochastics 89, No. 3--4, 654--685 (2017; Zbl 1361.60029) Full Text: DOI OpenURL
Dayanik, Savas; Sezer, Semih O. Sequential sensor installation for Wiener disorder detection. (English) Zbl 1351.62157 Math. Oper. Res. 41, No. 3, 827-850 (2016). MSC: 62L10 62L15 62C10 60G40 PDF BibTeX XML Cite \textit{S. Dayanik} and \textit{S. O. Sezer}, Math. Oper. Res. 41, No. 3, 827--850 (2016; Zbl 1351.62157) Full Text: DOI Link OpenURL
Zhang, Hongzhong; Rodosthenous, Neofytos; Hadjiliadis, Olympia Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem. (English) Zbl 1328.62500 Ann. Appl. Probab. 25, No. 6, 3405-3433 (2015). MSC: 62L10 60K35 62L15 62C20 60G40 PDF BibTeX XML Cite \textit{H. Zhang} et al., Ann. Appl. Probab. 25, No. 6, 3405--3433 (2015; Zbl 1328.62500) Full Text: DOI arXiv Euclid OpenURL
Buonaguidi, Bruno; Muliere, Pietro On the disorder problem for a negative binomial process. (English) Zbl 1328.60102 J. Appl. Probab. 52, No. 1, 167-179 (2015). MSC: 60G40 62C10 62L10 35R09 35R35 PDF BibTeX XML Cite \textit{B. Buonaguidi} and \textit{P. Muliere}, J. Appl. Probab. 52, No. 1, 167--179 (2015; Zbl 1328.60102) Full Text: DOI Euclid OpenURL
Dalang, Robert C.; Shiryaev, Albert N. A quickest detection problem with an observation cost. (English) Zbl 1326.60052 Ann. Appl. Probab. 25, No. 3, 1475-1512 (2015). MSC: 60G35 60G40 93E11 93E20 60J65 60H10 94A13 PDF BibTeX XML Cite \textit{R. C. Dalang} and \textit{A. N. Shiryaev}, Ann. Appl. Probab. 25, No. 3, 1475--1512 (2015; Zbl 1326.60052) Full Text: DOI arXiv Euclid OpenURL
Buonaguidi, B.; Muliere, P. On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay. (English) Zbl 1337.60069 Stochastics 86, No. 6, 865-869 (2014). MSC: 60G40 60G44 35R35 PDF BibTeX XML Cite \textit{B. Buonaguidi} and \textit{P. Muliere}, Stochastics 86, No. 6, 865--869 (2014; Zbl 1337.60069) Full Text: DOI OpenURL
Zhitlukhin, M. V.; Shiryaev, A. N. Optimal stopping problems for a Brownian motion with disorder on a segment. (English) Zbl 1293.60048 Theory Probab. Appl. 58, No. 1, 164-171 (2014); translation from Teor. Veroyatn. Primen. 58, No. 1, 193-200 (2013). MSC: 60G40 60J65 91G80 PDF BibTeX XML Cite \textit{M. V. Zhitlukhin} and \textit{A. N. Shiryaev}, Theory Probab. Appl. 58, No. 1, 164--171 (2014; Zbl 1293.60048); translation from Teor. Veroyatn. Primen. 58, No. 1, 193--200 (2013) Full Text: DOI arXiv OpenURL
Aliev, A. F. The Wiener continuous disorder problem. (English. Russian original) Zbl 1295.60050 Dokl. Math. 87, No. 3, 274-278 (2013); translation from Dokl. Akad. Nauk. 450, No. 2, 135-139 (2013). Reviewer: Pavel Gapeev (London) MSC: 60G40 60J65 60G44 93E10 93E11 PDF BibTeX XML Cite \textit{A. F. Aliev}, Dokl. Math. 87, No. 3, 274--278 (2013; Zbl 1295.60050); translation from Dokl. Akad. Nauk. 450, No. 2, 135--139 (2013) Full Text: DOI OpenURL
Ludkovski, Michael Monte Carlo methods for adaptive disorder problems. (English) Zbl 1252.65007 Carmona, René A. (ed.) et al., Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Berlin: Springer (ISBN 978-3-642-25745-2/hbk; 978-3-642-25746-9/ebook). Springer Proceedings in Mathematics 12, 83-112 (2012). MSC: 65C05 60G35 60G40 62C10 62L15 62M20 94A12 93E11 PDF BibTeX XML Cite \textit{M. Ludkovski}, Springer Proc. Math. 12, 83--112 (2012; Zbl 1252.65007) Full Text: DOI OpenURL
Szajowski, Krzysztof On a random number of disorders. (English) Zbl 1260.60078 Probab. Math. Stat. 31, No. 1, 17-45 (2011). MSC: 60G40 60K99 PDF BibTeX XML Cite \textit{K. Szajowski}, Probab. Math. Stat. 31, No. 1, 17--45 (2011; Zbl 1260.60078) Full Text: arXiv Link OpenURL
Sarnowski, Wojciech; Szajowski, Krzysztof Optimal detection of transition probability change in random sequence. (English) Zbl 1235.60041 Stochastics 83, No. 4-6, 569-581 (2011). Reviewer: Heinrich Hering (Rockenberg) MSC: 60G40 60K99 PDF BibTeX XML Cite \textit{W. Sarnowski} and \textit{K. Szajowski}, Stochastics 83, No. 4--6, 569--581 (2011; Zbl 1235.60041) Full Text: DOI arXiv OpenURL
Dayanik, Savas Wiener disorder problem with observations at fixed discrete time epochs. (English) Zbl 1238.60047 Math. Oper. Res. 35, No. 4, 756-785 (2010). Reviewer: Albrecht Irle (Kiel) MSC: 60G40 62L10 62C10 PDF BibTeX XML Cite \textit{S. Dayanik}, Math. Oper. Res. 35, No. 4, 756--785 (2010; Zbl 1238.60047) Full Text: DOI Link OpenURL
Belomestny, Denis; Gapeev, Pavel V. An iterative procedure for solving integral equations related to optimal stopping problems. (English) Zbl 1222.60035 Stochastics 82, No. 4-6, 365-380 (2010). Reviewer: Klaus Schürger (Bonn) MSC: 60G40 65D15 91G80 60J60 60J65 65D30 PDF BibTeX XML Cite \textit{D. Belomestny} and \textit{P. V. Gapeev}, Stochastics 82, No. 4--6, 365--380 (2010; Zbl 1222.60035) Full Text: DOI OpenURL
Shiryaev, Albert N. Quickest detection problems: fifty years later. (English) Zbl 1203.62137 Sequential Anal. 29, No. 4, 345-385 (2010). MSC: 62L15 62L10 62F15 PDF BibTeX XML Cite \textit{A. N. Shiryaev}, Sequential Anal. 29, No. 4, 345--385 (2010; Zbl 1203.62137) Full Text: DOI OpenURL
Dayanik, Savas Compound Poisson disorder problems with nonlinear detection delay penalty cost functions. (English) Zbl 1190.62144 Sequential Anal. 29, No. 2, 193-216 (2010). MSC: 62L10 62L15 62C10 60G40 PDF BibTeX XML Cite \textit{S. Dayanik}, Sequential Anal. 29, No. 2, 193--216 (2010; Zbl 1190.62144) Full Text: DOI Link OpenURL
Moustakides, George V. Sequential change detection revisited. (English) Zbl 1133.62063 Ann. Stat. 36, No. 2, 787-807 (2008). MSC: 62L10 62L15 60G40 PDF BibTeX XML Cite \textit{G. V. Moustakides}, Ann. Stat. 36, No. 2, 787--807 (2008; Zbl 1133.62063) Full Text: DOI arXiv OpenURL
Shiryaev, Albert N. Optimal stopping rules. Reprint of the 1978 3rd ed. (English) Zbl 1138.60008 Applications of Mathematics 8. Berlin: Springer (ISBN 978-3-540-74010-0/pbk; 978-3-540-74011-7/ebook). xii, 217 p. (2008). Reviewer: Pavel Gapeev (London) MSC: 60-02 60G40 60J05 60J25 35R35 62C10 62L15 62L10 PDF BibTeX XML Cite \textit{A. N. Shiryaev}, Optimal stopping rules. Reprint of the 1978 3rd ed. Berlin: Springer (2008; Zbl 1138.60008) Full Text: DOI OpenURL
Dayanik, Savas; Sezer, Semih Onur Compound Poisson disorder problem. (English) Zbl 1278.60076 Math. Oper. Res. 31, No. 4, 649-672 (2006). MSC: 60G40 62F15 62L15 PDF BibTeX XML Cite \textit{S. Dayanik} and \textit{S. O. Sezer}, Math. Oper. Res. 31, No. 4, 649--672 (2006; Zbl 1278.60076) Full Text: DOI Link OpenURL
Bayraktar, Erhan; Dayanik, Savas Poisson disorder problem with exponential penalty for delay. (English) Zbl 1278.62132 Math. Oper. Res. 31, No. 2, 217-233 (2006). MSC: 62L15 60G40 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{S. Dayanik}, Math. Oper. Res. 31, No. 2, 217--233 (2006; Zbl 1278.62132) Full Text: DOI Link OpenURL
Feinberg, Eugene A.; Shirayaev, Albert N. Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. (English) Zbl 1135.60024 Stat. Decis. 24, No. 4, 445-470 (2006). Reviewer: Vjatscheslav Vasiliev (Tomsk) MSC: 60G35 60G40 93E10 PDF BibTeX XML Cite \textit{E. A. Feinberg} and \textit{A. N. Shirayaev}, Stat. Decis. 24, No. 4, 445--470 (2006; Zbl 1135.60024) Full Text: DOI Link OpenURL
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis Adaptive Poisson disorder problem. (English) Zbl 1104.62093 Ann. Appl. Probab. 16, No. 3, 1190-1261 (2006). MSC: 62L15 62M99 62L10 62C10 60G40 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., Ann. Appl. Probab. 16, No. 3, 1190--1261 (2006; Zbl 1104.62093) Full Text: DOI arXiv OpenURL
Peskir, Goran; Shiryaev, Albert Optimal stopping and free-boundary problems. (English) Zbl 1115.60001 Lectures in Mathematics, ETH Zürich. Basel: Birkhäuser (ISBN 3-7643-2419-8/hbk). xxii, 500 p. (2006). Reviewer: Pavel Gapeev (Berlin) MSC: 60-02 60G40 35R35 45G10 45G15 62C10 62L15 60H05 91B28 60H10 PDF BibTeX XML Cite \textit{G. Peskir} and \textit{A. Shiryaev}, Optimal stopping and free-boundary problems. Basel: Birkhäuser (2006; Zbl 1115.60001) OpenURL
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis The standard Poisson disorder problem revisited. (English) Zbl 1070.62062 Stochastic Processes Appl. 115, No. 9, 1437-1450 (2005). MSC: 62L10 62L15 62M99 60G40 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., Stochastic Processes Appl. 115, No. 9, 1437--1450 (2005; Zbl 1070.62062) Full Text: DOI OpenURL
Shiryaev, Albert N. A remark on the quickest detection problems. (English) Zbl 1067.62084 Stat. Decis. 22, No. 1, 79-82 (2004). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 62L15 60G40 60G44 62L10 94A13 62C99 PDF BibTeX XML Cite \textit{A. N. Shiryaev}, Stat. Decis. 22, No. 1, 79--82 (2004; Zbl 1067.62084) Full Text: DOI OpenURL
Shiryaev, Albert N. Quickest detection problems in the technical analysis of the financial data. (English) Zbl 1001.62038 Geman, Helyette (ed.) et al., Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 - July 1, 2000. Berlin: Springer. Springer Finance. 487-521 (2002). Reviewer: Pavel Gapeev (Berlin) MSC: 62P05 62L15 60G35 60G40 91B70 PDF BibTeX XML Cite \textit{A. N. Shiryaev}, in: Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 -- July 1, 2000. Berlin: Springer. 487--521 (2002; Zbl 1001.62038) OpenURL
Szajowski, K. A two-disorder detection problem. (English) Zbl 0879.60043 Appl. Math. 24, No. 2, 231-241 (1996). MSC: 60G40 62L15 PDF BibTeX XML Cite \textit{K. Szajowski}, Appl. Math. 24, No. 2, 231--241 (1996; Zbl 0879.60043) Full Text: DOI EuDML OpenURL
Brodskij, Boris E.; Darkhovskij, B. S. Nonparametric methods in change-point problems. (English) Zbl 0779.62031 Mathematics and its Applications (Dordrecht). 243. Dordrecht: Kluwer Academic Publishers. 224 p. (1993). Reviewer: W.Stute (Gießen) MSC: 62G05 62-01 62-02 62M40 62L12 PDF BibTeX XML Cite \textit{B. E. Brodskij} and \textit{B. S. Darkhovskij}, Nonparametric methods in change-point problems. Dordrecht: Kluwer Academic Publishers (1993; Zbl 0779.62031) OpenURL
Szajowski, K. Optimal on-line detection of outside observations. (English) Zbl 0752.60034 J. Stat. Plann. Inference 30, No. 3, 413-422 (1992). MSC: 60G40 62L15 PDF BibTeX XML Cite \textit{K. Szajowski}, J. Stat. Plann. Inference 30, No. 3, 413--422 (1992; Zbl 0752.60034) Full Text: DOI OpenURL
de Cambry, Olivier; Genon-Catalot, Valentine Detecting a change in distribution: A new asymptotic approach using averaging methods. (English) Zbl 0778.62073 Stat. Decis. 10, No. 4, 389-403 (1992). Reviewer: K.Szajowski (Wrocław) MSC: 62L15 60G40 62L20 60F10 PDF BibTeX XML Cite \textit{O. de Cambry} and \textit{V. Genon-Catalot}, Stat. Decis. 10, No. 4, 389--403 (1992; Zbl 0778.62073) OpenURL
Baras, J. S.; Dorsey, A. J.; Levine, W. S. Estimation of traffic platoon structure from headway statistics. (English) Zbl 0426.93049 IEEE Trans. Autom. Control 24, 553-559 (1979). MSC: 93E10 90B20 90B22 60J99 PDF BibTeX XML Cite \textit{J. S. Baras} et al., IEEE Trans. Autom. Control 24, 553--559 (1979; Zbl 0426.93049) Full Text: DOI OpenURL