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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
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3212531
Page Count: 8
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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.
Journal of Applied Probability © 1976 Applied Probability Trust