Monotonicity and robustness in Wiener disorder detection

Erik Ekström; Juozas Vaicenavicius

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arXiv · 1710.10821

Monotonicity and robustness in Wiener disorder detection

Erik Ekström·Juozas Vaicenavicius

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Abstract

We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties -- effects of misspecification of the underlying model -- are explored.

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Erik Ekström, Juozas Vaicenavicius. 2019-01-16. Monotonicity and robustness in Wiener disorder detection. https://arxiv.org/abs/1710.10821

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