A note on Ritov's Bayes approach to the minimax property of the cusum procedure
Ritov 贝叶斯方法与 CUSUM 极小极大性质的连续时间札记
We consider, in a Bayesian framework, the model $W_t = B_t + \theta (t - \nu)^+$, where B is a standard Brownian motion, $\theta$ is arbitrary but known and $\nu$ is the unknown change-point. We transfer the construction of Ritov to this continuous time setup and show that the corresponding Bayes problems can be reduced to generalized parking problems.