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Quickest detection of a hidden target and extremal surfaces
 Research Report No. 23, Probab. Statist. Group Manchester (25
, 2010
"... Let Z = (Zt)t≥0 be a regular diffusion process started at 0, let ℓ be an independent random variable with a strictly increasing and continuous distribution function F, and let τℓ = inf { t ≥ 0  Zt = ℓ} be the first entry time of Z at the level ℓ. We show that the quickest detection problem inf P(τ ..."
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Cited by 2 (2 self)
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Let Z = (Zt)t≥0 be a regular diffusion process started at 0, let ℓ be an independent random variable with a strictly increasing and continuous distribution function F, and let τℓ = inf { t ≥ 0  Zt = ℓ} be the first entry time of Z at the level ℓ. We show that the quickest detection problem inf P(τ <τℓ) + c E(τ −τℓ)
The maximality principle revisited: on certain optimal stopping problems
, 2004
"... We investigate in detail works of Peskir [13] and Meilijson [9] and develop a link between them. [ We consider the following optimal stopping problem: maximize Vτ = E φ(Sτ) − ∫ τ 0 c(Bs)ds over all stopping times with E ∫ τ 0 c(Bs)ds < ∞, where S = (St)t≥0 is the supremum process associated wit ..."
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Cited by 1 (1 self)
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We investigate in detail works of Peskir [13] and Meilijson [9] and develop a link between them. [ We consider the following optimal stopping problem: maximize Vτ = E φ(Sτ) − ∫ τ 0 c(Bs)ds over all stopping times with E ∫ τ 0 c(Bs)ds < ∞, where S = (St)t≥0 is the supremum process associated with real valued Brownian motion B, φ ∈ C 1 is nondecreasing and c is continuous. From work of Peskir [13] we deduce that this problem has a unique solution if and only if the differential equation g ′ (s) = φ ′ (s) 2c(g(s))(s − g(s)) admits a maximal solution g∗(s) such that g∗(s) ≤ s for all s ≥ 0. The stopping time which yields the highest payoff can be written as τ ∗ = inf{t ≥ 0: Bt ≤ g∗(St)}. The problem is actually solved in a general case of a realvalued, time homogeneous diffusion X = (Xt: t ≥ 0) instead of B. We then proceed to solve the problem for more general functions φ and c. Explicit formulae for payoff are given. We apply the results to solve the socalled optimal Skorokhod embedding problem. We give also a sample of applications to various inequalities dealing with terminal value and supremum of a process.
To apper in Ann. Appl. Probab. Quickest Detection of a Hidden Target and Extremal Surfaces
"... Let Z = (Zt)t≥0 be a regular diffusion process started at 0, let ℓ be an independent random variable with a strictly increasing and continuous distribution function F, and let τℓ = inf{t ≥ 0  Zt = ℓ} be the first entry time of Z at the level ℓ. We show that the quickest detection problem inf ..."
Abstract
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Let Z = (Zt)t≥0 be a regular diffusion process started at 0, let ℓ be an independent random variable with a strictly increasing and continuous distribution function F, and let τℓ = inf{t ≥ 0  Zt = ℓ} be the first entry time of Z at the level ℓ. We show that the quickest detection problem inf