Compound Poisson Disorder Problem

Published Online:https://doi.org/10.1287/moor.1060.0223

References

  • Bayraktar Erhan, Dayanik Savas. Poisson disorder problem with exponential penalty for delay. Math. Oper. Res. (2005) 31(2):217–233LinkGoogle Scholar
  • Bayraktar Erhan, Dayanik Savas, Karatzas Ioannis. The standard Poisson disorder problem revisited. Stochastic Processes Appl. (2005) 115(9):1437–1450MR MR2158013CrossrefGoogle Scholar
  • Brémaud Pierre. Point Processes and Queues: Martingale Dynamics, Springer Series in Statistics (1981) (Springer-Verlag, New York) . MR 82m:60058CrossrefGoogle Scholar
  • Cont Rama, Tankov Peter. Financial modelling with jump processes. Chapman & Hall/CRC Financial Mathematics Series (2004) (Chapman & Hall/CRC, Boca Raton, FL) . MR2042661Google Scholar
  • Davis M. H. A. A note on the Poisson disorder problem. Banach Center Publ. (1976) 1:65–72CrossrefGoogle Scholar
  • Davis M. H. A. Piecewise-deterministic Markov processes: A general class of nondiffusion stochastic models. J. Roy. Statist. Soc. Ser. B (1984) 46(3):353–388With discussion. MR 87g:60062CrossrefGoogle Scholar
  • Davis M. H. A. Markov models and optimization. Monographs on Statistics and Applied Probability (1993) 49(Chapman & Hall, London, UK) . MR 96b:90002CrossrefGoogle Scholar
  • Elliott Robert J. Stochastic calculus and applications. Applications of Mathematics (New York) (1982) 18(Springer-Verlag, New York) . MR MR678919 (85b:60059)Google Scholar
  • Galchuk L. I., Rozovskii B. L. The disorder problem for a Poisson process. Theory Probab. Appl. (1971) 16:729–734Google Scholar
  • Gapeev Pavel V. The disorder problem for compound Poisson processes with exponential jumps. Ann. Appl. Probab. (2005) 15(1A):487–499MR MR2115049CrossrefGoogle Scholar
  • Gugerli U. S. Optimal stopping of a piecewise-deterministic Markov process. Stochastics (1986) 19(4):221–236MR 88j:60084CrossrefGoogle Scholar
  • Jacod Jean, Shiryaev Albert N.Limit Theorems for Stochastic Processes, 2nd ed. Grundlehren der Mathematischen Wissenschaften (Fundamental Principles of Mathematical Sciences) (2003) 288(Springer-Verlag, Berlin, Germany) . MR 2003j:60001Google Scholar
  • Peskir Goran, Shiryaev Albert N. Solving the Poisson disorder problem. Adv. Finance and Stochastics (2002) (Springer, Berlin, Germany) 295–312MR 2003i:60071CrossrefGoogle Scholar
  • Poor H. Vincent. An Introduction to Signal Detection and Estimation, 2nd ed. Springer Texts in Electrical Engineering (1994) (Springer-Verlag, New York. A Dowden & Culver Book) . MR MR1270019 (95c:94004)CrossrefGoogle Scholar
  • Protter Philip E.Stochastic Integration and Differential Equations, 2nd ed. Applications of Mathematics, Stochastic Modelling and Applied Probability (2004) 21(Springer-Verlag, Berlin, Germany) . MR MR2020294Google Scholar
  • Shiryaev Albert N. Probability. Graduate Texts in Mathematics (1996) 95(Springer-Verlag, New York) . MR 97c:60003Google Scholar
  • Shiryaev Albert N. A remark on the quickest detection problems. Statist. Decisions (2004) 22(1):79–82MR2065992CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.