Given two dependent stochastic processes X and Y, and a stopping time S on X,
the tracking stopping time problem consists in finding a stopping time T on Y
that best tracks S, e.g., so as to minimize the mean absolute deviation E|T-S|.
This problem formulation applies in several areas including control,
communication, and finance. However, the problem is in general hard to solve
analytically as it generalizes the well-known (Bayesian) change-point detection
problem for which solutions have been reported only for specific settings.