To the Discord Problem for a Jump-Like Markov Process

G. I. Salov

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences

Abstract: We obtain the structure of the optimal moment of halting (sending an “alarm” signal) and the integrodifferential equation for the risk function in the discord problem for an observed jump-like Markov process in the case that the discord point coincides with one of the jumps of the process.

Keywords: Markov process, detection, discord.

UDC: 519.21

Received: 16.06.2008

 English version: Journal of Applied and Industrial Mathematics, 2010, 4:3, 399–411

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