کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1157079 | 958925 | 2006 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The Wiener disorder problem with finite horizon
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The Wiener disorder problem seeks to determine a stopping time which is as close as possible to the (unknown) time of ‘disorder’ when the drift of an observed Wiener process changes from one value to another. In this paper we present a solution of the Wiener disorder problem when the horizon is finite. The method of proof is based on reducing the initial problem to a parabolic free-boundary problem where the continuation region is determined by a continuous curved boundary. By means of the change-of-variable formula containing the local time of a diffusion process on curves we show that the optimal boundary can be characterized as a unique solution of the nonlinear integral equation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 116, Issue 12, December 2006, Pages 1770–1791
Journal: Stochastic Processes and their Applications - Volume 116, Issue 12, December 2006, Pages 1770–1791
نویسندگان
P.V. Gapeev, G. Peskir,