Stochastic Disorder Problems (Probability Theory and Stochastic Modelling) (Volume 93)

Shiryaev, AN

ISBN 10: 3030015254 / ISBN 13: 9783030015251

Verlag: Springer, 2019

Beschreibung

Volume 93. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings. In good all round condition. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,850grams, ISBN:9783030015251.

Bestandsnummer des Verkäufers 9297024

Bibliografische Details

• Titel: Stochastic Disorder Problems (Probability Theory and Stochastic Modelling) (Volume 93)
• Verlag: Springer
• Erscheinungsjahr: 2019
• Sprache: Englisch
• ISBN-10: 3030015254
• ISBN-13: 9783030015251
• Einband: Hardcover
• Zustand: Good
• Gewicht: 850 Gramm
• Verkäuferkataloge:
  • Mathematics

Über diesen Titel

Inhaltsangabe

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.

Über die Autorin bzw. den Autor

Albert N. Shiryaev is Chief Scientific Researcher and Professor of Probability Theory and Mathematical Statistics at the Steklov Mathematical Institute of the Russian Academy of Sciences and Head of the Department of Probability Theory in the Mechanics and Mathematics Faculty at Lomonosov Moscow State University. He is the author of several books, including Problems in Probability  [translated by Andrew Lyasov], Optimal Stopping Rules [translated by A.B. Aries], and Statistics of Random Processes [with Robert S. Liptser]. He was the recipient of the A.A.MarkovPrize in 1974, of the A.N.Kolmogorov Prize in 1994, and of the Golden P.L.Chebyshev Medal of the Russian Academy of Science in 2017.