26 citations · 45 across the 6 of their papers we have counts for
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stat.AP2010★ 3 cited
Two switching multiple disorder problems for Brownian motions
Pavel V. Gapeev
The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process chan…
math.ST2010★ 3 cited
Bayesian quickest detection problems for some diffusion processes
Pavel V. Gapeev, Albert N. Shiryaev
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optim…