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On a Quickest Detection Problem with Variable Monitoring

D. W. Balmer
Journal of Applied Probability
Vol. 13, No. 4 (Dec., 1976), pp. 760-767
DOI: 10.2307/3212531
Stable URL: http://www.jstor.org/stable/3212531
Page Count: 8
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
On a Quickest Detection Problem with Variable Monitoring
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Abstract

The problem of detecting the arrival of a 'disorder' in a process observed through a monitoring facility which may operate in 'slow' or 'fast' mode, is formulated as an optimal stopping problem. It is shown that in all circumstances where there may exist an optimal policy specifying the mode of observation and the time of stopping there is a unique policy satisfying certain necessary conditions of optimality; the various circumstances and control policies are specified.

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