## Abstract

This paper deals with the minimax quickest detection problem of a drift change for the Brownian motion. The following minimax risks are studied: C(T) = inf _{τ∈}M _{T} sup _{θ} E _{θ}(τ ?θ ≧ τ -θ) and C(T) = inf _{τ∈}M _{T} sup _{θ} E _{θ} (τ ? θ | τ -θ), where M _{T} is the set of stopping times τ such that E _{∞}τ = T and MT is the set of randomized stopping times τ such that E _{∞}τ = T. The goal of this paper is to obtain for these risks estimates from above and from below. Using these estimates we prove the existence of stopping times, which are asymptotically optimal of the first and second orders as T →∞ (for C(T) and C(T), respectively).

Original language | English |
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Pages (from-to) | 519-536 |

Number of pages | 18 |

Journal | Theory of Probability and its Applications |

Volume | 53 |

Issue number | 3 |

DOIs | |

Publication status | Published - 2009 |

Externally published | Yes |

## Keywords

- Asymptotical optimality of the first and second orders
- Brownian motion
- Disorder problem
- Minimax risk