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We construct a Bayesian sequential test of two simple hypotheses about the value of the unobservable drift coefficient of a Brownian motion, with a possibility to change the initial decision at subsequent moments of time for some penalty.…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
This work examines the problem of sequential detection of a change in the drift of a Brownian motion in the case of two-sided alternatives. Applications to real life situations in which two-sided changes can occur are discussed.…
In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift "changes" into a Brownian motion with positive drift. The change occurs at an unknown "disorder" time with exponential…
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved…
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…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
We formulate and solve a variant of the quickest detection problem which features false negatives. A standard Brownian motion acquires a drift at an independent exponential random time which is not directly observable. Based on the…
Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, one of the coordinate processes gets a…
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with…
We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-state Markov process. The Markov process itself is not…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…
This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…
In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better…
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…
In this note we introduce and solve a soft classification version of the famous Bayesian sequential testing problem for a Brownian motion's drift. We establish that the value function is the unique non-trivial solution to a free boundary…