Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, February 17, 2016
Location:  3088 East Hall (3:00 PM to 4:00 PM)

Title:  Quickest change-point detection problems for multidimensional Wiener processes

Abstract:   We study the quickest change-point detection problems for the correlated components of a multidimensional Wiener process changing their drift rates at certain random times. These problems seek to determine the times of alarm which are as close as possible to the unknown change-point (disorder) times at which some of the components have changed their drift rates. The optimal times of alarm are shown to be the first times at which the appropriate posterior probability processes exit certain regions restricted by the stopping boundaries. We characterize the value functions and optimal boundaries as unique solutions of the associated free boundary problems for partial differential equations. We provide estimates for the value functions and boundaries which are solutions to the appropriately constructed ordinary differential free boundary problems.

Files: 3764_stoev.pdf

Speaker:  Yavor Stoev
Institution:  UM

Event Organizer:   Erhan Bayraktar


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