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.
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