Geodesic
A two-disorder detection problem
Applicationes Mathematicae, Tome 24 (1997) no. 2, pp. 231-241.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

Suppose that the process $X=\{X_n,n\in\N\}$ is observed sequentially. There are two random moments of time $θ_1$ and $θ_2$, independent of X, and X is a Markov process given $θ_1$ and $θ_2$. The transition probabilities of X change for the first time at time $θ_1$ and for the second time at time $θ_2$. Our objective is to find a strategy which immediately detects the distribution changes with maximal probability based on observation of X. The corresponding problem of double optimal stopping is constructed. The optimal strategy is found and the corresponding maximal probability is calculated.
DOI : 10.4064/am-24-2-231-241
Keywords: multiple optimal stopping, disorder problem, sequential detection

Krzysztof Szajowski 1

1 
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Krzysztof Szajowski. A two-disorder detection problem. Applicationes Mathematicae, Tome 24 (1997) no. 2, pp. 231-241. doi : 10.4064/am-24-2-231-241. http://geodesic.mathdoc.fr/articles/10.4064/am-24-2-231-241/

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