Asymptotic Near-Minimaxity of the Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time

For the classical continuous-time quickest change-point detection problem it is shown that the (randomized) Shiryaev-Roberts-Pollak procedure is nearly minimax-optimal (in the sense of Pollak 1985) asymptotically as the false alarm risk goes to zero. The discrete-time analogue of this result was previously obtained by Pollak (1985).