A stopping theoretic approach to minimal time detection of system parameter change

The problem of minimal time detection of abrupt parameter changes in linear stochastic systems considered. The problem is posed as an optimal stopping problem for the detection in change of the induced probability measure. Under the assumption of a prior distribution for the time of change (or disruption) a stopping rule is given which minimizes the average detection delay when there is knowledge of the new measure after the change. When the new induced measure is unknown, a stopping rule is given, based only on the noisy observations and is shown to be better than the a priori knowlege of the disruption time.