DISORDER PROBLEM FOR POISSON PROCESS IN GENERALIZED BAYESIAN SETTING

被引：2
|
作者：
Burnaev, E. V. [1 ]
机构：
[1] RAS, Inst Problems Informat Transmiss, Moscow 127994, Russia
来源：
THEORY OF PROBABILITY AND ITS APPLICATIONS | 2009年 / 53卷 / 03期
关键词：
disorder; Poisson process; optimal stopping; differential-difference equation; free-boundary problem; continuous-fit condition; smooth-fit condition; Bayesian risk;
D O I：
10.1137/S0040585X9798378X
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：
This paper deals with the quickest detection of a change of the intensity of the Poisson process. We show that the generalized Bayesian formulation of the quickest detection problem can be reduced to the conditional-extremal optimal stopping problem for a piecewise-deterministic Markov process. The optimal procedure for the disorder problem is obtained and asymptotics of the Bayesian risk function is calculated.
引用
收藏
页码：500 / 518
页数：19
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