Keywords:
Forschungsbericht
Description / Table of Contents:
The multiple disorder problem consists of finding a sequence of stopping times which are as close as possible to the (unknown) times of 'disorder' when the distribution of an observed process changes its probability characteristics. We present a formulation and solution of the multiple disorder problem for a Wiener and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial optimal switching problems to the corresponding coupled optimal stopping problems and solving the equivalent coupled free-boundary problems by means of the smooth- and continuous-fit conditions.
Type of Medium:
Online Resource
Pages:
Online-Ressource (17 S., 349 KB)
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graph. Darst.
Series Statement:
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik 1174
URL:
http://webdoc.sub.gwdg.de/ebook/serien/e/wias/2006/2006/wias_preprints_1174.pdf
URL:
https://edocs.tib.eu/files/e01fn11/519714881.pdf
Language:
English
Note:
Unterschiede zwischen dem gedruckten Dokument und der elektronischen Ressource können nicht ausgeschlossen werden. - Auch als gedr. Ausg. vorhanden
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Systemvoraussetzungen: Acrobat reader.
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