2 papers
math.PR2020
Multivariate Lévy-type drift change detection and mortality modeling
Michał Krawiec, Zbigniew Palmowski
In this paper we give a solution to the quickest drift change detection problem for a multivariate Lévy process consisting of both continuous (Gaussian) and jump components in the…
math.OC2017
Quickest drift change detection in Lévy-type force of mortality model
Michał Krawiec, Zbigniew Palmowski, Łukasz Płociniczak
In this paper we give solution to the quickest drift change detection problem for a Lévy process consisting of both a continuous Gaussian part and a jump component. We consider her…