A problem of the fastest detection of regime changing for Levy processes / F. A. Ustinov. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2009. № 2. P.  [Moscow Univ. Math. Bulletin. Vol. 72, N 2, 2017. P. 84-86].

The optimal stopping time for the quickest regime change detection (disorder) problem in the generalized Bayesian setting is determined for an arbitrary Levy process.

Key words: quickest detection of regime change, disorer problem, generalized Bayesian setting, Levy processes, Shiryaev process.

№ 2/2009