Quickest Detection Problems for Bessel Processes

Peter Johnson, Goran Peskir

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    Abstract

    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 space. Given that only the distance of the particle to the origin is being observed, the problem is to detect the time at which the particle departs from the plane as accurately as possible. We solve this problem in the most uncertain scenario when the random/unobservable time is (i) exponentially distributed and (ii) independent from the initial motion of the particle in the plane. The solution is expressed in terms of a stopping time that minimises the probability of a false early detection and the expected delay of a missed late detection.
    Original languageEnglish
    Pages (from-to)1003-1056
    Number of pages54
    JournalAnnals of Applied Probability
    Volume27
    Issue number2
    Early online date26 May 2017
    DOIs
    Publication statusPublished - 2017

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