The disorder problem for compound Poisson processes with exponential jumps
| dc.creator | Gapeev, Pavel V. | |
| dc.date | 2005-03-23 | |
| dc.date.accessioned | 2026-07-07T10:19:53Z | |
| dc.date.available | 2026-07-07T10:19:53Z | |
| dc.description | The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. We give a partial answer to this question for some special cases of Levy processes and present a complete solution of the Bayesian and variational problem for a compound Poisson process with exponential jumps. The method of proof is based on reducing the Bayesian problem to an integro-differential free-boundary problem where, in some cases, the smooth-fit principle breaks down and is replaced by the principle of continuous fit. | |
| dc.description | Published at http://dx.doi.org/10.1214/105051604000000981 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0503481 | |
| dc.identifier | http://arxiv.org/abs/math/0503481 | |
| dc.identifier | Annals of Applied Probability 2005, Vol. 15, No. 1A, 487-499 | |
| dc.identifier | doi:10.1214/105051604000000981 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/174676 | |
| dc.subject | Probability | |
| dc.subject | 60G40, 62M20, 34K10 (Primary) 62C10, 62L15, 60J75 (Secondary) | |
| dc.title | The disorder problem for compound Poisson processes with exponential jumps | |
| dc.type | text |