Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings

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Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions (2009, methodology): “These latter performance measures and their corresponding properties were motivated by similar results obtained for the Shiryaev–Roberts procedure for the continuous-time Brownian motion model; see Shiryaev (1963) and Feinberg and Shiryaev (2006).”
ON OPTIMALITY PROPERTIES OF THE SHIRYAEV-ROBERTS PROCEDURE (2007, background): “See also Lorden (1971) and Ritov (1990). For detecting a change in the drift of a Brownian motion, a similar result has been established by Beibel (1996) and Shiryaev (1996).”
On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution (2009, background): “…then it minimizes the integral average detection delay I(T ) = ∑∞ ν=0 Eν(T − ν)+ E∞T over all stopping times T that satisfy (3) E∞T > γ, where γ > 1 is a value set before the surveillance begins (cf. Pollak and Tartakovsky, 2009 and also Feinberg and Shiryaev, 2006 for the Brownian motion model).”