By Goran Peskir

Let *Z=(Z_t)_{t\ge0}* be a regular diffusion process started at *0*, let *\ell* be an independent random variable with a strictly increasing and continuous distribution function *F*, and let *\tau_{\ell}=\inf\{t\ge0\vert Z_t=\ell\}* be the first entry time of *Z* at the level *\ell*. We show that the quickest detection problem \[\inf_{\tau}\bigl[\mathsf{P}(\tau<\tau_{\ell})+c\mathsf{E}(\tau -\tau_{\ell})^+\bigr]\]... Show more

September 5, 2014

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