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Bayesian switching multiple disorder problems

Gapeev, Pavel V. (2016) Bayesian switching multiple disorder problems. Mathematics of Operations Research, 141 (3). pp. 1108-1124. ISSN 0364-765X

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Identification Number: 10.1287/moor.2015.0770

Abstract

The switching multiple disorder problem seeks to determine an ordered infinite sequence of times of alarms which are as close as possible to the unknown times of disorders, or change-points, at which the observable process changes its probability characteristics. We study a Bayesian formulation of this problem for an observable Brownian motion with switching constant drift rates. The method of proof is based on the reduction of the initial problem to an associated optimal switching problem for a three-dimensional diffusion posterior probability process and the analysis of the equivalent coupled parabolic-type free-boundary problem. We derive analytic-form estimates for the Bayesian risk function and the optimal switching boundaries for the components of the posterior probability process.

Item Type: Article
Official URL: http://pubsonline.informs.org/journal/moor
Additional Information: © 2016 INFORMS
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Sets: Departments > Mathematics
Date Deposited: 24 Jun 2015 11:07
Last Modified: 19 Nov 2019 12:17
URI: http://eprints.lse.ac.uk/id/eprint/62436

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