SEQUENTIAL PROCEDURE FOR DETECTING DISORDER IN A DIFFUSION PROCESS.

S. E. Vorobeychikov, V. V. Konev

    Research output: Contribution to journalArticle

    Abstract

    The problem of the rapid detection of the instant when the properties of a signal, described by a stochastic differential equation, change, is discussed. It is assumed that the form of the drift function changes at the instant of 'disorder'. On the basis of a sequential analysis a decision procedure for detecting disorder is constructed and its properties are investigated. The results are illustrated by the example of detecting the instant of an abrupt change in the parameters of the spectrum of a Gaussian Markov process.

    Original languageEnglish
    Pages (from-to)34-42
    Number of pages9
    JournalSoviet journal of communications technology & electronics
    Volume32
    Issue number4
    Publication statusPublished - Apr 1987

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    Markov processes
    Differential equations

    ASJC Scopus subject areas

    • Engineering(all)

    Cite this

    SEQUENTIAL PROCEDURE FOR DETECTING DISORDER IN A DIFFUSION PROCESS. / Vorobeychikov, S. E.; Konev, V. V.

    In: Soviet journal of communications technology & electronics, Vol. 32, No. 4, 04.1987, p. 34-42.

    Research output: Contribution to journalArticle

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