Monitoring the Drift Coefficient of a Diffusion Process Using the Dynamic Programming

What is it about?

This paper considers the change point detection in the drift coefficient of a diffusion process using the Bellman's principle. The method of Hawkins (2001) in discrete time stochastic process is developed to the continuous time processes and some simulated and real data set examples are given to show that the method works well in the continuous time cases. The real data set of Deutscher Aktien Index (DAX) series is analyzed. Finally, a conclusion section is also given.

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