Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Bruno Buonaguidi"'
Autor:
Bruno Buonaguidi
Publikováno v:
Journal of Optimization Theory and Applications.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a901db281ad97a628fd48e82820833c8
https://doi.org/10.1007/s10957-023-02239-8
https://doi.org/10.1007/s10957-023-02239-8
Publikováno v:
Buonaguidi, B, Mira, A, Bucheli, H & Vitanis, V 2022, ' Bayesian Quickest Detection of Credit Card Fraud ', Bayesian Analysis, vol. 17, no. 1, pp. 261-290 . https://doi.org/10.1214/20-BA1254
This paper addresses the risk of fraud in credit card transactions by developing a probabilistic model for the quickest detection of illegitimate purchases. Using optimal stopping theory, the goal is to determine the moment, known as disorder or frau
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a4f2211d69ad91009efacda0f087716e
https://doi.org/10.1214/20-ba1254
https://doi.org/10.1214/20-ba1254
Autor:
Bruno Buonaguidi, Antonietta Mira
Optimal variance stopping (O.V.S.) problems are a new class of optimal stopping problems that differ from the classical ones because of their non linear (quadratic) dependence on the expectation op...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b07773f79c21052143d74788b21a964e
http://hdl.handle.net/11383/2076235
http://hdl.handle.net/11383/2076235
Autor:
Bruno Buonaguidi, Pietro Muliere
Publikováno v:
Sequential Analysis. 32:47-70
We present the sequential testing of two simple hypotheses for a large class of Levy processes. As usual in this framework, the initial optimal stopping problem is reduced to a free-boundary problem, solved through the principles of the smooth and/or
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ed7bcca0b67ddadb31e5f656eec4d10
https://doi.org/10.1080/07474946.2013.752169
https://doi.org/10.1080/07474946.2013.752169
Autor:
Bruno Buonaguidi
Let be a geometric Brownian motion, ℙx be the probability measure under which X starts at x>0, and T be an exponential random variable independent of X. Using the very interesting results presented by Professor Christensen and exploiting the free-b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f8ce4478707797842586c654581478b0
http://hdl.handle.net/10807/133220
http://hdl.handle.net/10807/133220
Autor:
Pietro Muliere, Bruno Buonaguidi
We study the Bayesian problem of sequential testing of two simple hypotheses about the Levy-Khintchine triplet of a Levy process, having diffusion component, represented by a Brownian motion with drift, and jump component of finite variation. The met
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a134e0074bcd82bde4392098e45a2238
http://hdl.handle.net/11565/3991167
http://hdl.handle.net/11565/3991167
Autor:
Pietro Muliere, Bruno Buonaguidi
We analyze the Bayesian formulation of the sequential testing of two simple hypotheses for the distributional characteristics of an inverse Gaussian process. This problem arises when we are willing to test the positive drift of an unobservable Browni
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::27b88ca5e132ce3204a4b0d668506dbc
http://hdl.handle.net/10807/133694
http://hdl.handle.net/10807/133694
Autor:
Bruno Buonaguidi, Pietro Muliere
Publikováno v:
J. Appl. Probab. 52, no. 1 (2015), 167-179
We study the Bayesian disorder problem for a negative binomial process. The aim is to determine a stopping time which is as close as possible to the random and unknown moment at which a sequentially observed negative binomial process changes the valu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::521733c2fbb2f2213d94c4c34ea73a83
http://projecteuclid.org/euclid.jap/1429282613
http://projecteuclid.org/euclid.jap/1429282613
Autor:
Bruno Buonaguidi
Publikováno v:
J. Appl. Probab. 52, no. 4 (2015), 1187-1194
In an optimal variance stopping problem the goal is to determine the stopping time at which the variance of a sequentially observed stochastic process is maximized. A solution method for such a problem has been recently provided by Pedersen (2011). U
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::258d06a08b797713000946c848bacbbe
http://hdl.handle.net/10807/133698
http://hdl.handle.net/10807/133698
Autor:
Bruno Buonaguidi, Pietro Muliere
We study the Bayesian problem of sequential testing of two simple hypotheses about the parameter α > 0 of a Levy gamma process. The initial optimal stopping problem is reduced to a free-boundary problem, where at the unknown boundary points, separat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f02617215294299d9c6da98765e4bb2
http://hdl.handle.net/11565/3930718
http://hdl.handle.net/11565/3930718