Disorder problem

In the study of stochastic processes in mathematics, a disorder problem or quickest detection problem (formulated by Kolmogorov) is the problem of using ongoing observations of a stochastic process to detect as soon as possible when the probabilistic properties of the process have changed. This is a type of change detection problem.

An example case is to detect the change in the drift parameter of a Wiener process.

See also

• Compound Poisson process

References

• Kolmogorov, A. N., Prokhorov, Yu. V. and Shiryaev, A. N. (1990). Methods of detecting spontaneously occurring effects. Proc. Steklov Inst. Math. 1, 1–21.

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