Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 3 (2015), pp. 3-11
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The paper deals with the quickest detection of the disorder of a Brownian motion on a finite interval. The unknown moment of disorder is assumed to be uniformly distributed on the interval. The Bayesian and absolute criteria are used as optimality tests. The problem is reduced to a classic optimal stopping problem where the optimal stopping time may be obtained as a solution to integral equations. The existence and uniqueness of the solution of integral equations are proved analytically.
@article{VMUMM_2015_3_a0,
author = {A. A. Socco},
title = {Disorder problem for a {Brownian} motion on a segment in the case of uniformly distributed moment of disorder},
journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
pages = {3--11},
publisher = {mathdoc},
number = {3},
year = {2015},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/VMUMM_2015_3_a0/}
}
TY - JOUR AU - A. A. Socco TI - Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder JO - Vestnik Moskovskogo universiteta. Matematika, mehanika PY - 2015 SP - 3 EP - 11 IS - 3 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/VMUMM_2015_3_a0/ LA - ru ID - VMUMM_2015_3_a0 ER -
%0 Journal Article %A A. A. Socco %T Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder %J Vestnik Moskovskogo universiteta. Matematika, mehanika %D 2015 %P 3-11 %N 3 %I mathdoc %U http://geodesic.mathdoc.fr/item/VMUMM_2015_3_a0/ %G ru %F VMUMM_2015_3_a0
A. A. Socco. Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 3 (2015), pp. 3-11. http://geodesic.mathdoc.fr/item/VMUMM_2015_3_a0/