Geodesic
Two-sided disorder problem for a Brownian motion in a Bayesian setting
Informatics and Automation, Stochastic calculus, martingales, and their applications, Tome 287 (2014), pp. 211-233 
A. A. Muravlev; A. N. Shiryaev. Two-sided disorder problem for a Brownian motion in a Bayesian setting. Informatics and Automation, Stochastic calculus, martingales, and their applications, Tome 287 (2014), pp. 211-233. http://geodesic.mathdoc.fr/item/TRSPY_2014_287_a11/
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     title = {Two-sided disorder problem for {a~Brownian} motion in {a~Bayesian} setting},
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Voir la notice de l'article provenant de la source Math-Net.Ru

A two-sided disorder problem for a Brownian motion in a Bayesian setting is considered. It is shown how to reduce this problem to the standard optimal stopping problem for a posterior probability process. Qualitative properties of a solution are analyzed; namely, the concavity, continuity, and the smooth-fit principle for the risk function are proved. Optimal stopping boundaries are characterized as a unique solution to some integral equation.

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