Disorder problem

In the study of stochastic processes in mathematics, a disorder problem (or quickest detection problem) has been formulated by Kolmogorov. Specifically, the problem is use ongoing observations on a stochastic process to decide whether or not to raise an alarm that the probabilistic properties of the process have changed.

References

• H. Vincent Poor and Olympia Hadjiliadis (2008). Quickest Detection (First edition ed.). Cambridge: Cambridge University Press. ISBN 9780521621045. {{cite book}}: |edition= has extra text (help)
• Shiryaev, Albert N. (2007). Optimal Stopping Rules. Springer. ISBN 3540740104.
• Gapeev, P.V. (2005) The disorder problem for compound Poisson processes with exponential jumps. Ann. Appl. Probab. Volume 15, Number 1A, 487–499. [1]
• Kolmogorov, A. N., Prokhorov, Yu. V. and Shiryaev, A. N. (1990). Methods of detecting spontaneously occurring effects. Proc. Steklov Inst. Math. 1, 1–21.