Gapeev, P.V.; Peskir, G. - In: Stochastic Processes and their Applications 116 (2006) 12, pp. 1770-1791
The Wiener disorder problem seeks to determine a stopping time which is as close as possible to the (unknown) time of 'disorder' when the drift of an observed Wiener process changes from one value to another. In this paper we present a solution of the Wiener disorder problem when the horizon is...