Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 2 (2009), pp. 69-71
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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/
@article{VMUMM_2009_2_a14,
author = {Ph. A. Ustinov},
title = {A problem of the fastest detection of regime changing for {Levy} processes},
journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
pages = {69--71},
year = {2009},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/VMUMM_2009_2_a14/}
}
TY - JOUR
AU - Ph. A. Ustinov
TI - A problem of the fastest detection of regime changing for Levy processes
JO - Vestnik Moskovskogo universiteta. Matematika, mehanika
PY - 2009
SP - 69
EP - 71
IS - 2
UR - http://geodesic.mathdoc.fr/item/VMUMM_2009_2_a14/
LA - ru
ID - VMUMM_2009_2_a14
ER -
%0 Journal Article
%A Ph. A. Ustinov
%T A problem of the fastest detection of regime changing for Levy processes
%J Vestnik Moskovskogo universiteta. Matematika, mehanika
%D 2009
%P 69-71
%N 2
%U http://geodesic.mathdoc.fr/item/VMUMM_2009_2_a14/
%G ru
%F VMUMM_2009_2_a14
The optimal stopping time for the quickest regime change detection (disorder) problem in the generalized Bayesian setting is determined for an arbitrary Levy process.
