Geodesic
A problem of the fastest detection of regime changing for Levy processes
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 2 (2009), pp. 69-71

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The optimal stopping time for the quickest regime change detection (disorder) problem in the generalized Bayesian setting is determined for an arbitrary Levy process. 
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     author = {Ph. A. Ustinov},
     title = {A problem of the fastest detection of regime changing for {Levy} processes},
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     pages = {69--71},
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     url = {http://geodesic.mathdoc.fr/item/VMUMM_2009_2_a14/}
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Ph. A. Ustinov. A problem of the fastest detection of regime changing for Levy processes. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 2 (2009), pp. 69-71. http://geodesic.mathdoc.fr/item/VMUMM_2009_2_a14/