Geodesic

Tome 53 (2008) no. 3

Sommaire

On Stochastic Models and Optimal Methods in the Quickest Detection Problems
p. 417-436
Large Sample Change-Point Estimation when Distributions Are Unknown
p. 437-457
On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
p. 458-471
Asymptotic Optimality in Bayesian Changepoint Detection Problems under Global False Alarm Probability Constraint
p. 472-499
Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection
p. 500-515
A Variational Approach to Optimal Stopping Problems for Diffusion Processes
p. 516-533
Disorder Problem for Poisson Process in Generalized Bayesian Setting
p. 534-556
On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion
p. 557-575
Bachelier-Version of Russian Option with a Finite Time Horizon
p. 576-587
The Shepp--Shiryaev Stochastic Game Driven by a Spectrally Negative L\'evy Process
p. 588-609
On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
p. 610-622
Optimal Stopping Games and Nash Equilibrium
p. 623-638