On the sequential testing and quickest change-pointdetection problems for Gaussian processes

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 and Stoev, Yavor I. (2017) On the sequential testing and quickest change-pointdetection problems for Gaussian processes. Stochastics: an International Journal of Probability and Stochastic Processes. ISSN 1744-2508

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Abstract

We study the sequential hypothesis testing and quickest change-point (disorder) detec- tion problems with linear delay penalty costs for certain observable time-inhomogeneous Gaussian diffusions and fractional Brownian motions. The method of proof consists of the reduction of the initial problems into the associated optimal stopping problems for one- dimensional time-inhomogeneous diffusion processes and the analysis of the associated free boundary problems for partial differential operators. We derive explicit estimates for the Bayesian risk functions and optimal stopping boundaries for the associated weighted likelihood ratios and obtain their exact asymptotic growth rates under large time values.

Item Type:	Article
Official URL:	http://www.tandfonline.com/loi/gssr20
Additional Information:	© 2017 Informa UK Limited
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
Date Deposited:	19 Jan 2017 17:15
Last Modified:	01 Nov 2024 05:29
Projects:	100005156
Funders:	Alexander von Humboldt-Stiftung
URI:	http://eprints.lse.ac.uk/id/eprint/68927

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