A Bayesian-martingale approach to the general disorder problem

descriptionPublicationkeyboard_double_arrow_right Article 01 Aug 2007 Italy English Publisher:Elsevier BVJournal:Stochastic Processes and their Applications, volume 117, pages 1,093-1,120 (issn: 0304-4149,

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Authors: KAVTARADZE T; LAZIERZA N; MANIA M; MULIERE, PIETRO;

doi: 10.1016/j.spa.2006.11.008

handle: 11565/51337

A Bayesian-martingale approach to the general disorder problem

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Abstract

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Italy

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Keywords

Statistics and Probability, Applied Mathematics, value process, Value process, Martingales with continuous parameter, Optimal stopping in statistics, reflecting backward equation, Poisson process, Reflecting backward equation, Disorder problem; Change point; Bayesian martingale approach, Wiener process, Disorder problem, Stochastic partial differential equations (aspects of stochastic analysis), optimal stopping, Modelling and Simulation, Change-point, Optimal stopping, Bayesian-martingale approach, change-point, disorder problem

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