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Stochastic Models Volume 28, 2012 - Issue 2
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Original Articles

Finite Horizon Decision Timing with Partially Observable Poisson Processes

Michael Ludkovski Department of Statistics and Applied Probability, University of California Santa Barbara, Santa Barbara, California, USA
&
Semih O. Sezer Faculty of Engineering and Natural Sciences, Sabancı University, Tuzla Istanbul, TurkeyCorrespondence[email protected]
Pages 207-247 | Received 01 Jun 2010, Accepted 01 Jun 2011, Published online: 02 May 2012

Citations (11)

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Read on this site (4)

Heng Yang, Olympia Hadjiliadis & Michael Ludkovski. (2017) Quickest detection in the Wiener disorder problem with post-change uncertainty. Stochastics 89:3-4, pages 654-685.
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B. Buonaguidi & P. Muliere. (2016) Bayesian sequential testing for Lévy processes with diffusion and jump components. Stochastics 88:7, pages 1099-1113.
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Bruno Buonaguidi & Pietro Muliere. (2016) Optimal sequential testing for an inverse Gaussian process. Sequential Analysis 35:1, pages 69-83.
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Michael Ludkovski. (2012) Bayesian Quickest Detection in Sensor Arrays. Sequential Analysis 31:4, pages 481-504.
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Articles from other publishers (7)

Cagin Uru, Savas Dayanik & Semih O. Sezer. (2023) Compound Poisson disorder problem with uniformly distributed disorder time. Bernoulli 29:3.
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Bruno Buonaguidi. (2023) Finite Horizon Sequential Detection with Exponential Penalty for the Delay. Journal of Optimization Theory and Applications 198:1, pages 224-238.
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Benoîte de Saporta, François Dufour & Huilong Zhang. 2015. Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes. Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes 269 275 .
Junjing Lin & Michael Ludkovski. (2013) Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics. Statistics and Computing 24:6, pages 1047-1062.
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Adrien Brandejsky, Benoîte de Saporta & François Dufour. (2013) Optimal stopping for partially observed piecewise-deterministic Markov processes. Stochastic Processes and their Applications 123:8, pages 3201-3238.
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Michael Ludkovski. (2012) Bayesian quickest detection with observation-changepoint feedback. Bayesian quickest detection with observation-changepoint feedback.
Savas Dayanik & Semih O. Sezer. (2012) Multisource Bayesian sequential binary hypothesis testing problem. Annals of Operations Research 201:1, pages 99-130.
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