Abstract We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to different model parameters. Moreover, robustness properties – effects of misspecification of the underlying model – are explored.

中文翻译：

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维纳无序检测的单调性和鲁棒性

摘要 我们研究了在经典情况的各种扩展下检测布朗运动漂移变化的问题。具体来说，我们考虑随机变化后漂移的情况，并检查解决方案相对于不同模型参数的单调性。此外，还探索了鲁棒性特性——底层模型指定错误的影响。