42 citations · 72 across the 7 of their papers we have counts for
7 papers
Robustness of the -CUSUM stopping rule in a Wiener disorder problem
Hongzhong Zhang, Neofytos Rodosthenous, Olympia Hadjiliadis
We study a Wiener disorder problem of detecting the minimum of change-points in observation channels coupled by correlated noises. It is assumed that the observations in ea…
Quickest detection in coupled systems
Hongzhong Zhang, Olympia Hadjiliadis, Tobias Schäfer +1
This work considers the problem of quickest detection of signals in a coupled system of sensors, which receive continuous sequential observations from the environment. It is as…
Stochastic Modeling and Fair Valuation of Drawdown Insurance
Hongzhong Zhang, Tim Leung, Olympia Hadjiliadis
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the cu…
Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
Hongzhong Zhang, Olympia Hadjiliadis
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the d…
Quickest detection in coupled systems
Olympia Hadjiliadis, Tobias Schaefer, H. Vincent Poor
This work considers the problem of quickest detection of signals in a coupled system of N sensors, which receive continuous sequential observations from the environment. It is assu…
One shot schemes for decentralized quickest change detection
Olympia Hadjiliadis, Hongzhong Zhang, H. V. Poor
This work considers the problem of quickest detection with N distributed sensors that receive continuous sequential observations from the environment. These sensors employ cumulati…