Compound Poisson disorder problem

被引：27

作者：

Dayanik, Savas ^{[1
]}

Sezer, Semih Onur

机构：

[1] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA

[2] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08544 USA

来源：

MATHEMATICS OF OPERATIONS RESEARCH | 2006年 / 31卷 / 04期

关键词：

Poisson disorder problem; quickest detection; compound Poisson processes; optimal stopping;

D O I：

10.1287/moor.1060.0223

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and unobservable time. The problem is to detect the change (or disorder) time as quickly as possible. A sudden regime shift may require some countermeasures be taken promptly, and a quickest detection rule can help with those efforts. We describe complete solution of the compound Poisson disorder problem with several standard Bayesian risk measures. Solution methods are feasible for numerical implementation and are illustrated by examples.

引用

页码：649 / 672

页数：24

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