Short notes

A problem of the fastest detection of regime changing for Levy processes

Ph. A. Ustinov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The optimal stopping time for the quickest regime change detection (disorder) problem in the generalized Bayesian setting is determined for an arbitrary Levy process.

Key words: quickest detection of regime change, disorer problem, generalized Bayesian setting, Levy processes, Shiryaev process.

UDC: 519.217.3

Received: 17.09.2008

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