Monotonicity and robustness in Wiener disorder detection

10/30/2017

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by   Erik Ekström, et al.

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We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties -- effects of misspecification of the underlying model -- are explored.