The Disorder Problem for Stochastic Jump Processes

G.I. Salov (Russia)


control, jump process, disorder problem, optimalstop ping time.


The starting point of this paper is the problem of quickest detection of a change (a disorder) in the prob abilisticcharacteristics ofan observationjumpprocess. An explicit solution is given of the nonlinear ltering problem of estimating the time of change of jump pro cess of very general type. This result is then applied to the optimal stopping time problem in a Markov case.

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