Details of Research Outputs

We consider the detection of a jump in a continuous process over a fixed time interval. We aim to locate the jump position via discrete observations and consider how increasing the frequency of the observations affects the accuracy of the detection process. We show that the classical cumulative-sum estimator fails, and propose a new estimator based on local information that we prove converges exponentially fast. To cite this article: G. Wang et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008). © 2008 Académie des sciences.