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Teoriya Veroyatnostei i ee Primeneniya, 1965, Volume 10, Issue 2, Pages 380–385 (Mi tvp535)  

This article is cited in 25 scientific papers (total in 25 papers)

Short Communications

Some explicit formulae in a problem on “disorder”

A. N. Shiryaev

Moscow
Abstract: Bayes' and variation problems of detection of “disorder” by means of methods of the sequential analysis are considered.
In the case of Bayes' approach we determine the optimum value of boundary a (Theorem 1). Theorem 2 contains the formula for the level Ь given the probability of the false alarm α.
Received: 06.01.1965
English version:
Theory of Probability and its Applications, 1965, Volume 10, Issue 2, Pages 348–354
DOI: https://doi.org/10.1137/1110043
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. N. Shiryaev, “Some explicit formulae in a problem on “disorder””, Teor. Veroyatnost. i Primenen., 10:2 (1965), 380–385; Theory Probab. Appl., 10:2 (1965), 348–354
Citation in format AMSBIB
\Bibitem{Shi65}
\by A.~N.~Shiryaev
\paper Some explicit formulae in a~problem on ``disorder''
\jour Teor. Veroyatnost. i Primenen.
\yr 1965
\vol 10
\issue 2
\pages 380--385
\mathnet{http://mi.mathnet.ru/tvp535}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=184791}
\zmath{https://zbmath.org/?q=an:0139.36003}
\transl
\jour Theory Probab. Appl.
\yr 1965
\vol 10
\issue 2
\pages 348--354
\crossref{https://doi.org/10.1137/1110043}
Linking options:
  • https://www.mathnet.ru/eng/tvp535
  • https://www.mathnet.ru/eng/tvp/v10/i2/p380
  • This publication is cited in the following 25 articles:
    1. Pavel V. Gapeev, Yavor I. Stoev, “Quickest Change-point Detection Problems for Multidimensional Wiener Processes”, Methodol Comput Appl Probab, 27:1 (2025)  crossref
    2. Savas Dayanik, Semih O Sezer, “Model Misspecification in Discrete Time Bayesian Online Change Detection”, Methodol Comput Appl Probab, 25:1 (2023)  crossref
    3. PAVEL V. GAPEEV, MONIQUE JEANBLANC, “DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION”, Int. J. Theor. Appl. Finan., 22:04 (2019), 1950006  crossref
    4. V G Burmistrova, A A Butov, M A Volkov, M G Moskvicheva, Y Zh Pchelkina, “Some problems for the processes with the compensation of the change-point event”, J. Phys.: Conf. Ser., 1368:4 (2019), 042088  crossref
    5. A A Kovalenko, “Some Approaches to the Estimation of the Stopping Time of the Cross-boundary Event for the Process with the Change-point”, J. Phys.: Conf. Ser., 1368:4 (2019), 042089  crossref
    6. Brodsky B., “Change-Point Analysis in Nonstationary Stochastic Models”, Change-Point Analysis in Nonstationary Stochastic Models, Crc Press-Taylor & Francis Group, 2017, 1–345  isi
    7. Ritesh Srivastava, M.P.S. Bhatia, “Real-Time Unspecified Major Sub-Events Detection in the Twitter Data Stream That Cause the Change in the Sentiment Score of the Targeted Event”, International Journal of Information Technology and Web Engineering, 12:4 (2017), 1  crossref
    8. Pavel V. Gapeev, “Bayesian Switching Multiple Disorder Problems”, Mathematics of OR, 41:3 (2016), 1108  crossref
    9. Dimitri O. Ledenyov, Viktor O. Ledenyov, “Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities”, SSRN Journal, 2014  crossref
    10. P. V. Gapeev, A. N. Shiryaev, “Bayesian quickest detection problems for some diffusion processes”, Adv. in Appl. Probab., 45:1 (2013), 164–185  mathnet  crossref  isi  scopus
    11. Pavel V. Gapeev, Albert N. Shiryaev, “Bayesian Quickest Detection Problems for Some Diffusion Processes”, Adv. Appl. Probab., 45:01 (2013), 164  crossref
    12. Hans Rudolf Lerche, Mikhail Urusov, “On Minimax Duality in Optimal Stopping”, Sequential Analysis, 29:3 (2010), 328  crossref
    13. Semih Onur Sezer, “On the Wiener disorder problem”, Ann. Appl. Probab., 20:4 (2010)  crossref
    14. E. V. Burnaev, “Disorder Problem for Poisson Process in Generalized Bayesian Setting”, Theory Probab. Appl., 53:3 (2009), 500–518  mathnet  crossref  crossref  mathscinet  zmath  isi
    15. Hans Rudolf Lerche, Mikhail Urusov, “Optimal stopping via measure transformation: the Beibel–Lerche approach”, Stochastics, 79:3-4 (2007), 275  crossref
    16. Jin Wang, Q. Peter He, “A Bayesian Approach for Disturbance Detection and Classification and Its Application to State Estimation in Run-to-Run Control”, IEEE Trans. Semicond. Manufact., 20:2 (2007), 126  crossref
    17. P.V. Gapeev, G. Peskir, “The Wiener disorder problem with finite horizon”, Stochastic Processes and their Applications, 116:12 (2006), 1770  crossref
    18. A. N. Shiryaev, Mathematical Events of the Twentieth Century, 2006, 371  crossref
    19. Pavel V. Gapeev, “The disorder problem for compound Poisson processes with exponential jumps”, Ann. Appl. Probab., 15:1A (2005)  crossref
    20. A. A. Butov, M. A. Volkov, “Optimalnoe upravlenie parametrami razladki v zadache maksimizatsii energoproduktivnosti i rezultiruyuschaya geterogennost populyatsii”, Probl. upravl., 4 (2004), 54–57  mathnet
    Citing articles in Google Scholar: Russian citations, English citations
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