The decentralized quickest detection problem

Two detectors making independent observations must decide when a Markov chain jumps from state 0 to state 1. The decisions are coupled through a common cost function. It is shown that the optimal decision is characterized by thresholds as in the decoupled case. However, the thresholds are time-varying and their computation requires the solution of two coupled sets of dynamic programming equations. A comparison to the decoupled case shows the structure of the coupling.