Monotonicity and robustness in Wiener disorder detection

We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness...

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Bibliographic Details
Published inSequential analysis Vol. 38; no. 1; pp. 57 - 68
Main Authors Ekström, Erik, Vaicenavicius, Juozas
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis 02.01.2019
Taylor & Francis Ltd
Subjects
Brownian motion
Change detection
Changepoint detection
Drift
Optimal stopping
Parameter robustness
Robustness
Robustness (mathematics)
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Summary:We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties - effects of misspecification of the underlying model - are explored.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0747-4946
1532-4176
1532-4176
DOI:10.1080/07474946.2018.1554885