The standard Poisson disorder problem revisited

被引：34
|
作者：
Bayraktar, E
Dayanik, S [1 ]
Karatzas, I
机构：
[1] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA
[2] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA
[3] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08544 USA
[4] Columbia Univ, Dept Math, New York, NY 10027 USA
[5] Columbia Univ, Dept Stat, New York, NY 10027 USA
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2005年 / 115卷 / 09期
基金：
美国国家科学基金会;
关键词：
Poisson disorder problem; quickest detection; optimal stopping; differential-delay equations;
D O I：
10.1016/j.spa.2005.04.011
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A change in the arrival rate of a Poisson process sometimes necessitates immediate action. If the change time is unobservable, then the design of online change detection procedures becomes important and is known as the Poisson disorder problem. Formulated and partially solved by Davis [Banach Center Publ., I (1976) 65-72], the standard Poisson problem addresses the tradeoff between false alarms and detection delay costs in the most useful way for applications. In this paper we solve the standard problem completely and describe efficient numerical methods to calculate the policy parameters. (c) 2005 Elsevier B.V. All rights reserved.
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页码：1437 / 1450
页数：14
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