Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 86, 2014 - Issue 6
85
Views
1
CrossRef citations to date
0
Altmetric
Articles

On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay

&
Pages 865-869 | Received 19 Jul 2012, Accepted 29 Oct 2013, Published online: 24 Feb 2014

References

  • E.Bayraktar and S.Dayanik, Poisson disorder problem with exponential penalty for delay, Math. Oper. Res.31 (2006), pp. 217–233.
  • M.Beibel, A note on sequential detection with exponential penalty for the delay, Ann. Stat.28 (2000), pp. 1696–1701.
  • M.Beibel and H.R.Lerche, A new look at optimal stopping problems related to mathematical finance, Stat. Sin.7 (1997), pp. 93–108.
  • S.Christensen and A.Irle, A harmonic function technique for the optimal stopping of diffusions, Stochastics83 (2011), pp. 347–363.
  • P.V.Gapeev and H.R.Lerche, On the structure of discounted optimal stopping problems for one-dimensional diffusions, Stochastics83 (2011), pp. 537–554.
  • P.V.Gapeev and A.N.Shiryaev, Bayesian quickest detection problems for some diffusion processes, Adv. Appl. Prob.45 (2013), pp. 164–185.
  • G.Peskir and A.N.Shiryaev, Optimal Stopping and Free-Boundary Problems, Lectures in Mathematics ETH Zürich, Birkhäuser Verlag, Basel, 2006.
  • A.N.Shiryaev, Optimal Stopping Rules, Spinger, New York, 1978.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.