The Resource Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource)
Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource)
Resource Information
The item Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
 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 cyberattacks. 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 problemsolving methods. The exposition covers both the discrete time case, which is in principle relatively simple and allows stepbystep considerations, and the continuoustime case, which often requires more technical machinery such as martingales, supermartingales, and stochastic integrals. There is a focus on the welldeveloped 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.
 Language
 eng
 Extent
 1 online resource (XIX, 397 pages)
 Contents

 Preface
 Introduction
 ProbabilisticStatistical 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 DiscreteTime Case
 Optimal Stopping Rules. General Theory for the DiscreteTime Case in the Markov Representation
 Optimal Stopping Rules. General Theory for the ContinuousTime Case
 Basic Formulations and Solutions of Quickest Detection Problems. ContinuousTime. Models with Brownian motion
 MultiStage 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
 Isbn
 9783030015268
 Label
 Stochastic Disorder Problems
 Title
 Stochastic Disorder Problems
 Statement of responsibility
 by Albert N. Shiryaev
 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 cyberattacks. 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 problemsolving methods. The exposition covers both the discrete time case, which is in principle relatively simple and allows stepbystep considerations, and the continuoustime case, which often requires more technical machinery such as martingales, supermartingales, and stochastic integrals. There is a focus on the welldeveloped 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.
 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)
 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  ProbabilisticStatistical 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 DiscreteTime Case  Optimal Stopping Rules. General Theory for the DiscreteTime Case in the Markov Representation  Optimal Stopping Rules. General Theory for the ContinuousTime Case  Basic Formulations and Solutions of Quickest Detection Problems. ContinuousTime. Models with Brownian motion  MultiStage 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
 9783030015268
 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, noncommercial 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)
 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  ProbabilisticStatistical 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 DiscreteTime Case  Optimal Stopping Rules. General Theory for the DiscreteTime Case in the Markov Representation  Optimal Stopping Rules. General Theory for the ContinuousTime Case  Basic Formulations and Solutions of Quickest Detection Problems. ContinuousTime. Models with Brownian motion  MultiStage 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
 9783030015268
 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, noncommercial 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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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.eui.eu/portal/StochasticDisorderProblemsbyAlbertN./5p0duIWEvSo/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/StochasticDisorderProblemsbyAlbertN./5p0duIWEvSo/">Stochastic Disorder Problems, by Albert N. Shiryaev, (electronic resource)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>