We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Poisson Disorder Problem with Exponential Penalty for Delay.
- Authors
Bayraktar, Erhan; Dayanik, Savas
- Abstract
We solve the Poisson disorder problem when the delay is penalized exponentially. Our objective is to detect as quickly as possible the unobservable time of the change (or disorder) in the intensity of a Poisson process. The disorder time delimits two different regimes in which one employs distinct strategies (e.g., investment, advertising, manufacturing). We seek a stopping rule that minimizes the frequency of false alarms and an exponential (unlike previous formulations, which use a linear) cost function of the detection delay. In the financial applications, the exponential penalty is a more apt measure for the delay cost because of the compounding of the investment growth. The Poisson disorder problem with a linear delay cost was studied by Peskir and Shiryaev [2002. Solving the Poisson Disorder Problem. Advances in Finance and Stochastics. Springer, Berlin, Germany, 295-312], which is a limiting case of ours.
- Subjects
POISSON processes; INVESTMENTS; ADVERTISING; MANUFACTURED products; FINANCE; COST
- Publication
Mathematics of Operations Research, 2006, Vol 31, Issue 2, p217
- ISSN
0364-765X
- Publication type
Article
- DOI
10.1287/moor.1060.0190