The disorder problem for compound Poisson processes with exponential jumps
Year of publication: |
2005
|
---|---|
Authors: | Gapeev, Pavel V. |
Institutions: | London School of Economics (LSE) |
Subject: | disorder (quickest detection) problem | Lévy process | compound Poisson process | optimal stopping | integro-differential free-boundary problem | principles of smooth and continuous fit | measure of jumps and its compensator | Girsanov’s theorem for semimartingales | Itô’s formula |
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