Coverart for item
The Resource Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource)

Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource)

Label
Stochastic Disorder Problems
Title
Stochastic Disorder Problems
Statement of responsibility
by Albert N. Shiryaev
Creator
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Shiryaev, Albert N
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Probability Theory and Stochastic Modelling,
  • Springer eBooks
  • Springer eBooks.
Series volume
93
http://library.link/vocab/subjectName
  • Systems theory
  • Distribution (Probability theory
  • Mathematical statistics
  • Finance
  • Finance—Mathematics
  • Statistics
Label
Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-030-01526-8
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-030-01526-8
Dimensions
unknown
Extent
1 online resource (XIX, 397 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030015268
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
27 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1090392505
Label
Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-030-01526-8
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-030-01526-8
Dimensions
unknown
Extent
1 online resource (XIX, 397 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030015268
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
27 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1090392505

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