Disorder Detection with Costly Observations
Probability
2021-07-14 v2 Optimization and Control
Abstract
We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, a strategy is a pair consisting of a sequence of observation times and a stopping time corresponding to the declaration of disorder. We characterize the minimal cost of the disorder problem with costly observations as the unique fix-point of a certain jump operator, and we determine the optimal strategy.
Cite
@article{arxiv.2002.00930,
title = {Disorder Detection with Costly Observations},
author = {Erhan Bayraktar and Erik Ekstrom and Jia Guo},
journal= {arXiv preprint arXiv:2002.00930},
year = {2021}
}
Comments
To appear in Journal of/Advances in Applied Probability