Finite Horizon Sequential Detection with Exponential Penalty for the Delay

Bruno Buonaguidi ()
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Bruno Buonaguidi: Università Cattolica

Journal of Optimization Theory and Applications, 2023, vol. 198, issue 1, No 9, 224-238

Abstract: Abstract The problem of the sequential detection of a change in the drift of a one-dimensional Brownian motion is considered under the assumptions that the detection must eventually occur within a finite horizon and the detection delay is exponentially penalized. Our results extend those obtained by Beibel for the infinite horizon sequential detection with exponential penalty (Ann Stat 28:1696–1701, 2000) and by Gapeev and Peskir for the finite horizon sequential detection with linear penalty (Stoch Process Appl 116:1770–1791, 2006).

Keywords: Brownian motion; Exponential penalty; Finite horizon; Optimal stopping; Sequential analysis; Sequential detection; 60G40; 62L10; 60J65; 62C10; 60H30; 45G10 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10957-023-02239-8

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