相关论文: Detection of two-sided alternatives in a Brownian …
Oftentimes in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says that the change is intermittent or transient. We provide an…
The problem of sequentially detecting an abrupt change in a sequence of independent and identically distributed (IID) random variables is addressed. Whereas previous approaches assume a known probability density function (PDF) at the start…
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…
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.…
The problem of quickest change detection (QCD) under transient dynamics is studied, where the change from the initial distribution to the final persistent distribution does not happen instantaneously, but after a series of transient phases.…
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…
A novel sequential change detection problem is proposed, in which the goal is to not only detect but also accelerate the change. Specifically, it is assumed that the sequentially collected observations are responses to treatments selected…
The problem of sequential change diagnosis is considered, where a sequence of independent random elements is accessed sequentially, there is an abrupt change in its distribution at some unknown time, and there are two main operational…
The paper addresses a sequential changepoint detection problem, assuming that the duration of change may be finite and unknown. This problem is of importance for many applications, e.g., for signal and image processing where signals appear…
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…
In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. Specifically, there is a sequence of random variables whose probability density function will change at an unknown time. The goal is…
This work considers the problem of quickest detection of signals in a coupled system of $N$ sensors, which receive continuous sequential observations from the environment. It is assumed that the signals, which are modeled by general It\^{o}…
We investigate sequential change point estimation and detection in univariate nonparametric settings, where a stream of independent observations from sub-Gaussian distributions with a common variance factor and piecewise-constant but…
Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time. The problem is to detect the disorder time as quickly as possible after…
Detecting if and when objects change is difficult in passive sub-diffraction imaging of dynamic scenes. We consider the best possible tradeoff between responsivity and accuracy for detecting a change from one arbitrary object model to…
We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…
We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point $x=0$. Let $\sigma_1$ and $\sigma_2$ denote the volatilities on the negative and…
We study the parametric online changepoint detection problem, where the underlying distribution of the streaming data changes from a known distribution to an alternative that is of a known parametric form but with unknown parameters. We…
The logarithmic correction for the order of the maximum of a two-type reducible branching Brownian motion on the real line exhibits a double jump when the parameters (the ratio of the diffusion coefficients of the two types of particles,…
The problem of quickest change detection is studied in the context of detecting an arbitrary unknown mean-shift in multiple independent Gaussian data streams. The James-Stein estimator is used in constructing detection schemes that exhibit…