Disorder problem
In the study of stochastic processes in mathematics, a disorder problem or quickest detection problem (formulated by Kolmogorov) is the problem of using ongoing observations of a stochastic process to detect as soon as possible when the probabilistic properties of the process have changed. This is a type of change detection problem.
An example case is to detect the change in the drift parameter of a Wiener process.Shiryaev (2007) page 208
See also
Notes
References
- {{cite book
| author = H. Vincent Poor and Olympia Hadjiliadis
| title = Quickest Detection
| edition = First
|publisher = Cambridge University Press
| location = Cambridge
| year = 2008
| isbn = 978-0-521-62104-5
}}
- {{cite book
|title= Optimal Stopping Rules
|last = Shiryaev
|first= Albert N.
|authorlink = Albert Shiryaev
|isbn = 978-3-540-74010-0
|year = 2007
|publisher=Springer
}}
- {{cite journal|author=Gapeev, P.V.|year=2005|title=The disorder problem for compound Poisson processes with exponential jumps|journal=Ann. Appl. Probab.|volume=15|issue=1A |pages=487–499|url=http://projecteuclid.org/euclid.aoap/1106922334|doi=10.1214/105051604000000981|arxiv=math/0503481}}
- Kolmogorov, A. N., Prokhorov, Yu. V. and Shiryaev, A. N. (1990). Methods of detecting spontaneously occurring effects. Proc. Steklov Inst. Math. 1, 1–21.
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