Quickest detection in the Wiener disorder problem with post-change uncertainty

• Published in: Stochastics (Abingdon, Eng. : 2005) Vol. 89; no. 3-4; pp. 654 - 685
• Main Authors: Yang, Heng, Hadjiliadis, Olympia, Ludkovski, Michael
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis 19.05.2017; Taylor & Francis Ltd
• Subjects: Asymptotic optimality; Asymptotic properties; change point detection; composite stopping time; Control charts; CUSUM reaction period; Delay; Drift; equential analysis; Optimization; Probability theory; Randomness; Strategy; Uncertainty; Wiener disorder problem

We consider the problem of quickest detection of an abrupt change when there is uncertainty about the post-change distribution. In particular, we examine this problem in the continuous-time Wiener model where the drift of observations changes from zero to a random drift with a prescribed discrete di...