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On a Quickest Detection Problem with Costly Information
D. W. Balmer
Journal of Applied Probability
Vol. 12, No. 1 (Mar., 1975), pp. 87-97
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3212410
Page Count: 11
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Problems of detecting the arrival of a 'disorder' are of central importance in quality control. One such problem is formulated as an optimal stopping problem in which information about the process to be stopped may be bought at any time. A control policy will involve a determination of times at which information should be bought and of the time at which the process should be stopped. It is shown that in all circumstances there is a unique policy satisfying necessary conditions for optimality; the various circumstances and control policies are specified.
Journal of Applied Probability © 1975 Applied Probability Trust