The real-time detection of changes in a noisily observed signal is an important problem in
applied science and engineering. The study of parametric optimal detection theory began in …

Consider the motion of a Brownian particle that initially takes place in a two-dimensional
plane and then after some random/unobservable time continues in the three-dimensional …

This paper addresses the risk of fraud in credit card transactions by developing a
probabilistic model for the quickest detection of illegitimate purchases. Using optimal …

We study a two-dimensional discounted optimal stopping problem related to the pricing of
perpetual commodity equities in a model of financial markets in which the behaviour of the …

We study zero-sum optimal stopping games associated with perpetual convertible bonds in
an extension of the Black-Merton-Scholes model with random dividends under various …

Совершенствование системы ремонтного обслуживания становится все более
актуальной задачей различных отраслей производства. Величина ущерба от …

Consider an Ornstein–Uhlenbeck process that initially reverts to zero at a known mean-
reversion rate β 0, and then after some random/unobservable time, this mean-reversion rate …

The paper studies a class of multidimensional optimal stopping problems with infinite
horizon for linear switching diffusions. There are two main novelties in the optimal problems …

Отмечено, что при решении многих практических задач анализа систем с дискретными
состояниями и непрерывным временем поток последовательных событий …

We analyze the optimal exercise of an American call executive stock option (ESO) written on
a stock whose drift parameter falls to a lower value at a change point, an exponentially …