The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 18, Number 2 (2008), 552-590.
Multisource Bayesian sequential change detection
Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time. The problem is to detect the disorder time as quickly as possible after it happens and minimize the rate of false alarms at the same time. These problems arise, for example, from managing product quality in manufacturing systems and preventing the spread of infectious diseases. The promptness and accuracy of detection rules improve greatly if multiple independent information sources are available. Earlier work on sequential change detection in continuous time does not provide optimal rules for situations in which several marked count data and continuously changing signals are simultaneously observable. In this paper, optimal Bayesian sequential detection rules are developed for such problems when the marked count data is in the form of independent compound Poisson processes, and the continuously changing signals form a multi-dimensional Wiener process. An auxiliary optimal stopping problem for a jump-diffusion process is solved by transforming it first into a sequence of optimal stopping problems for a pure diffusion by means of a jump operator. This method is new and can be very useful in other applications as well, because it allows the use of the powerful optimal stopping theory for diffusions.
Ann. Appl. Probab., Volume 18, Number 2 (2008), 552-590.
First available in Project Euclid: 20 March 2008
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62L10: Sequential analysis
Secondary: 62L15: Optimal stopping [See also 60G40, 91A60] 62C10: Bayesian problems; characterization of Bayes procedures 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Dayanik, Savas; Poor, H. Vincent; Sezer, Semih O. Multisource Bayesian sequential change detection. Ann. Appl. Probab. 18 (2008), no. 2, 552--590. doi:10.1214/07-AAP463. https://projecteuclid.org/euclid.aoap/1206018197