The Disorder Problem for Pure Jump Markov Processes

G.I. Salov (Russia)


control problem, disorder problem, jump process, optimalstopping time.


This report has two main purposes. The first is to extend the methods developed by the author in [5] for quickest de tection of the appear of a probability distribution change (a `disorder') in an observed pure jump stochastic (indus trial) process to more general process and especially for two cases of a disorder. The second main purpose is to ob tain lower bound for an optimal stopping time (an optimal rule for detecting a disorder) and optimal stopping time ex plicitly for a special case.

Important Links:

Go Back