Search Results - "Dayanik, Savas"

Detection and identification of changes of hidden Markov chains: asymptotic theory by Dayanik, Savas, Yamazaki, Kazutoshi

“…This paper revisits a unified framework of sequential change-point detection and hypothesis testing modeled using hidden Markov chains and develops its…”
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Asymptotically optimal Bayesian sequential change detection and identification rules by Dayanik, Savas, Powell, Warren B., Yamazaki, Kazutoshi

“…We study the joint problem of sequential change detection and multiple hypothesis testing. Suppose that the common distribution of a sequence of i.i.d. random…”
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On the optimal stopping problem for one-dimensional diffusions by Dayanik, Savas, Karatzas, Ioannis

“…A new characterization of excessive functions for arbitrary one-dimensional regular diffusion processes is provided, using the notion of concavity. It is shown…”
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Optimal Multiple Stopping of Linear Diffusions by Carmona, Rene, Dayanik, Savas

“…Motivated by the analysis of financial instruments with multiple exercise rights of American type and mean reverting underlyers, we formulate and solve the…”
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Optimal Stopping Problems for Asset Management by Dayanik, Savas, Egami, Masahiko

“…An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and…”
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Bayesian Sequential Change Diagnosis by Dayanik, Savas, Goulding, Christian, Poor, H. Vincent

“…Sequential change diagnosis is the joint problem of detection and identification of a sudden and unobservable change in the distribution of a random sequence…”
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An Adaptive Bayesian Replacement Policy with Minimal Repair by Dayanik, Savas, GUrler, UlkU

“…In this study, an adaptive Bayesian decision model is developed to determine the optimal replacement age for the systems maintained according to a general…”
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Correction to: Asymptotically optimal Bayesian sequential change detection and identification rules by Dayanik, Savas, Powell, Warren B., Yamazaki, Kazutoshi

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Optimal Stopping of Linear Diffusions with Random Discounting by Dayanik, Savas

“…We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural,…”
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Dynamic bidding strategies in search-based advertising by Dayanik, Savas, Parlar, Mahmut

“…Search-based advertising allows the advertisers to run special campaigns targeted to different groups of potential consumers at low costs. Google, Yahoo and…”
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Optimal dynamic multi-keyword bidding policy of an advertiser in search-based advertising by Dayanik, Savas, Sezer, Semih O.

“…Sponsored search advertisement allows advertisers to target their messages to appropriate customer segments at low costs. While search engines are interested…”
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Wiener Disorder Problem with Observations at Fixed Discrete Time Epochs by Dayanik, Savas

“…Suppose that a Wiener process gains a known drift rate at some unobservable disorder time with some zero-modified exponential distribution. The process is…”
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Model Misspecification in Discrete Time Bayesian Online Change Detection by Dayanik, Savas, Sezer, Semih O

“…We revisit the classical formulation of the discrete time Bayesian online change detection problem in which the common distribution of an observed sequence of…”
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Optimal Stopping Problems for Asset Management by Dayanik, Savas, Egami, Masahiko

“…An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and…”
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Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions by Dayanik, Savas

“…The quickest detection of the unknown and unobservable disorder time, when the arrival rate and mark distribution of a compound Poisson process suddenly…”
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Sequential Sensor Installation for Wiener Disorder Detection by Dayanik, Savas, Sezer, Semih O.

“…We consider a centralized multisensor online quickest disorder detection problem where the observation from each sensor is a Wiener process gaining a constant…”
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Compound Poisson Disorder Problem by Dayanik, Savas, Sezer, Semih Onur

“…In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and…”
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Multisource Bayesian sequential binary hypothesis testing problem by Dayanik, Savas, Sezer, Semih O.

“…We consider the problem of testing two simple hypotheses about unknown local characteristics of several independent Brownian motions and compound Poisson…”
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Poisson Disorder Problem with Exponential Penalty for Delay by Bayraktar, Erhan, Dayanik, Savas

“…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…”
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Adaptive Poisson Disorder Problem by Bayraktar, Erhan, Dayanik, Savas, Karatzas, Ioannis

“…We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a known value to an unknown and unobservable value at…”
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