The disorder problem for compound Poisson processes with exponential jumps

@inproceedings{Gapeev2004TheDP,
  title={The disorder problem for compound Poisson processes with exponential jumps},
  author={Pavel V. Gapeev},
  year={2004}
}
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of “disorder” when the observed process changes its probability characteristics. We give a partial answer to this question for some special cases of Lévy processes and present a complete solution of the Bayesian and variational problem for a compound Poisson process with exponential jumps. The method of proof is based on reducing the Bayesian problem to an integro-differential free… CONTINUE READING

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