Monotonicity and robustness in Wiener disorder detection

• Published in: Sequential analysis Vol. 38; no. 1; pp. 57 - 68
• Main Authors: Ekström, Erik, Vaicenavicius, Juozas
• Format: Journal Article
• Language: English
• 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)

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...