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Disorder detection with costly observations
Published online by Cambridge University Press: 25 April 2022
Abstract
We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, a strategy is a pair consisting of a sequence of observation times and a stopping time corresponding to the declaration of disorder. We characterize the minimal cost of the disorder problem with costly observations as the unique fixed point of a certain jump operator, and we determine the optimal strategy.
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- © The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust
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