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The Wiener disorder problem with finite horizon

Citations

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Cited by:

  1. Buonaguidi, B., 2022. "The disorder problem for diffusion processes with the ϵ-linear and expected total miss criteria," Statistics & Probability Letters, Elsevier, vol. 189(C).
  2. Ameur, Hachmi Ben & Han, Xuyuan & Liu, Zhenya & Peillex, Jonathan, 2022. "When did global warming start? A new baseline for carbon budgeting," Economic Modelling, Elsevier, vol. 116(C).
  3. Zhenya Liu & Yuhao Mu, 2022. "Optimal Stopping Methods for Investment Decisions: A Literature Review," IJFS, MDPI, vol. 10(4), pages 1-23, October.
  4. Asaf Cohen, 2015. "Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise," Mathematics of Operations Research, INFORMS, vol. 40(2), pages 361-389, February.
  5. Pavel V. Gapeev & Yavor I. Stoev, 2025. "Quickest Change-point Detection Problems for Multidimensional Wiener Processes," Methodology and Computing in Applied Probability, Springer, vol. 27(1), pages 1-25, March.
  6. Shiryaev Albert & Novikov Alexander A., 2009. "On a stochastic version of the trading rule “Buy and Hold”," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 289-302, July.
  7. Gapeev, Pavel V., 2022. "Discounted optimal stopping problems in continuous hidden Markov models," LSE Research Online Documents on Economics 110493, London School of Economics and Political Science, LSE Library.
  8. Savas Dayanik & Semih O. Sezer, 2016. "Sequential Sensor Installation for Wiener Disorder Detection," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 827-850, August.
  9. Christensen, Sören & Irle, Albrecht, 2020. "The monotone case approach for the solution of certain multidimensional optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1972-1993.
  10. Antonio Di Crescenzo & Shelemyahu Zacks, 2015. "Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 761-780, September.
  11. Gapeev, Pavel V. & Jeanblanc, Monique, 2024. "On the construction of conditional probability densities in the Brownian and compound Poisson filtrations," LSE Research Online Documents on Economics 121059, London School of Economics and Political Science, LSE Library.
  12. Thomas Kruse & Philipp Strack, 2019. "An Inverse Optimal Stopping Problem for Diffusion Processes," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 423-439, May.
  13. A. N. ShiryaevM. V. Zhitlukhin & M. V. Zhitlukhin, 2012. "Disorder detection problems with applications in finance," Economics Discussion Paper Series 1229, Economics, The University of Manchester.
  14. repec:hum:wpaper:sfb649dp2006-057 is not listed on IDEAS
  15. Gapeev, Pavel V. & Jeanblanc, Monique, 2021. "First-to-default and second-to-default options in models with various information flows," LSE Research Online Documents on Economics 110750, London School of Economics and Political Science, LSE Library.
  16. Pavel V. Gapeev & Monique Jeanblanc, 2019. "Defaultable Claims In Switching Models With Partial Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-18, June.
  17. Belomestny, Denis & Gapeev, Pavel V., 2006. "An iteration procedure for solving integral equations related to optimal stopping problems," SFB 649 Discussion Papers 2006-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  18. Savas Dayanik, 2010. "Wiener Disorder Problem with Observations at Fixed Discrete Time Epochs," Mathematics of Operations Research, INFORMS, vol. 35(4), pages 756-785, November.
  19. Tiziano De Angelis & Jhanvi Garg & Quan Zhou, 2022. "A quickest detection problem with false negatives," Papers 2210.01844, arXiv.org, revised Feb 2026.
  20. Bruno Buonaguidi, 2023. "Finite Horizon Sequential Detection with Exponential Penalty for the Delay," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 224-238, July.
  21. Gapeev, Pavel V., 2006. "Integral options in models with jumps," SFB 649 Discussion Papers 2006-068, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  22. Pavel V. Gapeev, 2020. "On the problems of sequential statistical inference for Wiener processes with delayed observations," Statistical Papers, Springer, vol. 61(4), pages 1529-1544, August.
  23. repec:hum:wpaper:sfb649dp2006-043 is not listed on IDEAS
  24. Gapeev, Pavel V., 2006. "Discounted optimal stopping for maxima in diffusion models with finite horizon," SFB 649 Discussion Papers 2006-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  25. repec:hum:wpaper:sfb649dp2006-068 is not listed on IDEAS
  26. Pavel V. Gapeev & Monique Jeanblanc, 2020. "Credit Default Swaps In Two-Dimensional Models With Various Informations Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-28, March.
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