M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Teor. Veroyatnost. i Primenen., 57:3 (2012), 453–470; Theory Probab. Appl., 57:3 (2013), 497

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Teoriya Veroyatnostei i ee Primeneniya, 2012, Volume 57, Issue 3, Pages 453–470
DOI: https://doi.org/10.4213/tvp4461 (Mi tvp4461)

This article is cited in 22 scientific papers (total in 22 papers)

Baeyes disorder problems on filtered probability spaces

M. V. Zhitlukhin, A. N. Shiryaev

Steklov Mathematical Institute of the Russian Academy of Sciences

Full-text PDF (244 kB) Citations (22)

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DOI: https://doi.org/10.4213/tvp4461

Funding agency	Grant number
Russian Foundation for Basic Research	11-01-00949
Ministry of Education and Science of the Russian Federation	11.634.0073

Received: 07.08.2012

English version:
Theory of Probability and its Applications, 2013, Volume 57, Issue 3, Pages 497–511
DOI: https://doi.org/10.1137/S0040585X97986072

Bibliographic databases:

Document Type: Article

Language: Russian

Citation: M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Teor. Veroyatnost. i Primenen., 57:3 (2012), 453–470; Theory Probab. Appl., 57:3 (2013), 497–511

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Linking options:

https://www.mathnet.ru/eng/tvp4461

https://doi.org/10.4213/tvp4461

https://www.mathnet.ru/eng/tvp/v57/i3/p453

This publication is cited in the following 22 articles:

Michał Krawiec, Zbigniew Palmowski, “Multivariate Lévy-type drift change detection and mortality modeling”, Eur. Actuar. J., 14:1 (2024), 175
Cagin Uru, Savas Dayanik, Semih O. Sezer, “Compound Poisson disorder problem with uniformly distributed disorder time”, Bernoulli, 29:3 (2023)
Eksi Z., Schreitl D., “Closing a Bitcoin Trade Optimally Under Partial Information: Performance Assessment of a Stochastic Disorder Model”, Mathematics, 10:1 (2022), 157
Hachmi Ben Ameur, Xuyuan Han, Zhenya Liu, Jonathan Peillex, “When did global warming start? A new baseline for carbon budgeting”, Economic Modelling, 116 (2022), 106005
Guimaraes W.R.S., Lima L.S., “Self-Organizing Three-Dimensional Ising Model of Financial Markets”, Phys. Rev. E, 103:6 (2021), 062130
Xu Z.Q. Yi F., “Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty”, Math. Oper. Res., 45:1 (2020), 384–401
Kruse T. Strack Ph., “An Inverse Optimal Stopping Problem For Diffusion Processes”, Math. Oper. Res., 44:2 (2019), 423–439
Lleo S., Ziemba W.T., “Can Warren Buffett Forecast Equity Market Corrections?”, Eur. J. Financ., 25:4 (2019), 369–393
Albert N. Shiryaev, Probability Theory and Stochastic Modelling, 93, Stochastic Disorder Problems, 2019, 239
S. Lleo, W. T. Ziemba, “Predicting stock market crashes in China”, J. Portf. Manage., 44:5 (2018), 125–135
L. S. Lima, L. L. B. Miranda, “Price dynamics of the financial markets using the stochastic differential equation for a potential double well”, Physica A, 490 (2018), 828–833
Krawiec M. Palmowski Z. Plociniczak L., “Quickest Drift Change Detection in Levy-Type Force of Mortality Model”, Appl. Math. Comput., 338 (2018), 432–450
Olga Isupova, Springer Theses, Machine Learning Methods for Behaviour Analysis and Anomaly Detection in Video, 2018, 9
L. S. Lima, “Modeling of the financial market using the two-dimensional anisotropic Ising model”, Physica A, 482 (2017), 544–551
Anastasiia Sokko, “Testing the Stochastic Disorder Model on Stock Markets”, SSRN Journal, 2017
Thomas Kruse, Philipp Strack, “An Inverse Optimal Stopping Problem for Diffusion Processes”, SSRN Journal, 2017
M. V. Zhitlukhin, A. A. Muravlev, A. N. Shiryaev, “On confidence intervals for Brownian motion changepoint times”, Russian Math. Surveys, 71:1 (2016), 159–160
D. I. Lisovskii, “Bayesian disorder problem for the Brownian bridge”, Russian Math. Surveys, 71:5 (2016), 967–969
E. Z. Ferenstein, A. Pasternak-Winiarski, “Mathematical model of detecting disorders in service systems”, 2015 20th International Conference on Methods and Models in Automation and Robotics (MMAR) (Miedzyzdroje, Poland), IEEE, 2015, 724–727
M. V. Zhitlukhin, A. N. Shiryaev, “Optimal stopping problems for a Brownian motion with disorder on a segment”, Theory Probab. Appl., 58:1 (2014), 164–171

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

Theory of Probability and its Applications

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