Disorder problem
Encyclopedia
In the study of stochastic processes in mathematics
, a disorder problem (or quickest detection problem) has been formulated by Kolmogorov. Specifically, the problem is use ongoing observations on a stochastic process to decide whether or not to raise an alarm that the probabilistic properties of the process have changed.
An example case is to detect the change in the drift of a Wiener process
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Mathematics
Mathematics is the study of quantity, space, structure, and change. Mathematicians seek out patterns and formulate new conjectures. Mathematicians resolve the truth or falsity of conjectures by mathematical proofs, which are arguments sufficient to convince other mathematicians of their validity...
, a disorder problem (or quickest detection problem) has been formulated by Kolmogorov. Specifically, the problem is use ongoing observations on a stochastic process to decide whether or not to raise an alarm that the probabilistic properties of the process have changed.
An example case is to detect the change in the drift of a Wiener process
Wiener process
In mathematics, the Wiener process is a continuous-time stochastic process named in honor of Norbert Wiener. It is often called standard Brownian motion, after Robert Brown...
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