Solving the Poisson Disorder Problem

@inproceedings{ESKIR2002SolvingTP,
  title={Solving the Poisson Disorder Problem},
  author={G. P ESKIR and A. N. S HIRYAEV},
  year={2002}
}
  • G. P ESKIR, A. N. S HIRYAEV
  • Published 2002
The Poisson disorder problem seeks to determine a stopping time which is as close as possible to the (unknown) time of ’disorder’ when the intensity of an observed Poisson process changes from one value to another. Partial answers to this question are known to date only in some special cases, and the main purpose of the present paper is to describe the structure of the solution in the general case. The method of proof consists of reducing the initial (optimal stopping) problem to a freeboundary… CONTINUE READING
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