عنوان

Stochastic disorder problems /

شابک

3030015262

شابک

3030015270

شابک

9783030015268

شابک

9783030015275

شابک اشتباه

3030015254

شابک اشتباه

9783030015251

عنوان اصلي

Stochastic disorder problems /

نام عام مواد

[Book]

نام نخستين پديدآور

Albert N. Shiryaev ; [translated from the Russian by Andrei Iacob ; foreword by H. Vincent Poor].

محل نشرو پخش و غیره

Cham :

نام ناشر، پخش کننده و غيره

Springer,

تاریخ نشرو بخش و غیره

2019.

نام خاص و کميت اثر

1 online resource (412 pages)

عنوان فروست

Probability Theory and Stochastic Modelling ;

مشخصه جلد

v. 93

متن يادداشت

8.1 Disorder Problems with a Priori G-Distribution of the Occurrence Time. Basic Formulas

متن يادداشت

Preface -- Introduction -- Probabilistic-Statistical Models in Quickest Detection Problems. Discrete and Continuous Time -- Basic Settings and Solutions of Quickest Detection Problems. Discrete Time -- Optimal Stopping Times. General Theory for the Discrete-Time Case -- Optimal Stopping Rules. General Theory for the Discrete-Time Case in the Markov Representation -- Optimal Stopping Rules. General Theory for the Continuous-Time Case -- Basic Formulations and Solutions of Quickest Detection Problems. Continuous-Time. Models with Brownian motion -- Multi-Stage Quickest Detection of Breakdown of a Stationary Regime. Model with Brownian Motion -- Disorder on Filtered Probability Spaces -- Bayesian and Variational Problems of Hypothesis Testing. Brownian Motion Models -- Applications to Financial Mathematics -- References -- Term Index -- Notation Index.

بدون عنوان

0

متن يادداشت

This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data. These include quickest detection of randomly appearing targets, of spontaneously arising effects, and of arbitrage (in financial mathematics). There is also currently great interest in quickest detection methods for randomly occurring?intrusions? in information systems and in the design of defense methods against cyber-attacks. The author shows that the majority of quickest detection problems can be reformulated as optimal stopping problems where the stopping time is the moment the occurrence of?disorder? is signaled. Thus, considerable attention is devoted to the general theory of optimal stopping rules, and to its concrete problem-solving methods. The exposition covers both the discrete time case, which is in principle relatively simple and allows step-by-step considerations, and the continuous-time case, which often requires more technical machinery such as martingales, supermartingales, and stochastic integrals. There is a focus on the well-developed apparatus of Brownian motion, which enables the exact solution of many problems. The last chapter presents applications to financial markets. Researchers and graduate students interested in probability, decision theory and statistical sequential analysis will find this book useful.

منبع سفارش / آدرس اشتراک

Springer Nature

شماره انبار

com.springer.onix.9783030015268

شماره استاندارد بين المللي کتاب و موسيقي

9783030015251

موضوع مستند نشده

Stochastic analysis.

موضوع مستند نشده

MATHEMATICS-- Applied.

موضوع مستند نشده

MATHEMATICS-- Probability & Statistics-- General.

موضوع مستند نشده

Stochastic analysis.

موضوع مستند نشده

GPFC

موضوع مستند نشده

GPFC

موضوع مستند نشده

MAT-- 003000

موضوع مستند نشده

MAT-- 029000

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Shiryaev, Albert N.

مستند نام اشخاص تاييد نشده

Iacob, Andrei.

مستند نام اشخاص تاييد نشده

Poor, H. Vincent.

تاريخ عمليات

20200823073129.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y