LEADER 03662nam 2200649Ia 450 001 9910785087703321 005 20200520144314.0 010 $a1-281-11631-9 010 $a9786611116316 010 $a3-540-74011-2 024 7 $a10.1007/978-3-540-74011-7 035 $a(CKB)1000000000410955 035 $a(EBL)372430 035 $a(OCoLC)300972636 035 $a(SSID)ssj0000215749 035 $a(PQKBManifestationID)11175809 035 $a(PQKBTitleCode)TC0000215749 035 $a(PQKBWorkID)10193973 035 $a(PQKB)10591687 035 $a(DE-He213)978-3-540-74011-7 035 $a(MiAaPQ)EBC372430 035 $a(Au-PeEL)EBL372430 035 $a(CaPaEBR)ebr10203905 035 $a(CaONFJC)MIL111631 035 $a(PPN)12316852X 035 $a(EXLCZ)991000000000410955 100 $a20070801e20081978 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aOptimal stopping rules$b[electronic resource] /$fA.N. Shiryaev ; translated by A.B. Aries 205 $a1st ed. 2008. 210 $aBerlin ;$aNew York $cSpringer$dc2008 215 $a1 online resource (227 p.) 225 1 $aApplications of mathematics,$x0172-4568 ;$v8 300 $a"Reprint of the 1978 edition with a new preface." 311 $a3-540-74010-4 320 $aIncludes bibliographical references (p. 208-213) and index. 327 $aRandom Processes: Markov Times -- Optimal Stopping of Markov Sequences -- Optimal Stopping of Markov Processes -- Some Applications to Problems of Mathematical Statistics. 330 $aAlthough three decades have passed since first publication of this book reprinted now as a result of popular demand, the content remains up-to-date and interesting for many researchers as is shown by the many references to it in current publications. The "ground floor" of Optimal Stopping Theory was constructed by A.Wald in his sequential analysis in connection with the testing of statistical hypotheses by non-traditional (sequential) methods. It was later discovered that these methods have, in idea, a close connection to the general theory of stochastic optimization for random processes. The area of application of the Optimal Stopping Theory is very broad. It is sufficient at this point to emphasise that its methods are well tailored to the study of American (-type) options (in mathematics of finance and financial engineering), where a buyer has the freedom to exercise an option at any stopping time. In this book, the general theory of the construction of optimal stopping policies is developed for the case of Markov processes in discrete and continuous time. One chapter is devoted specially to the applications that address problems of the testing of statistical hypotheses, and quickest detection of the time of change of the probability characteristics of the observable processes. The author, A.N.Shiryaev, is one of the leading experts of the field and gives an authoritative treatment of a subject that, 30 years after original publication of this book, is proving increasingly important. 410 0$aApplications of mathematics ;$v8. 606 $aOptimal stopping (Mathematical statistics) 606 $aSequential analysis 615 0$aOptimal stopping (Mathematical statistics) 615 0$aSequential analysis. 676 $a519.5/4 700 $aShiri?aev$b Al?bert Nikolaevich$0102058 701 $aAries$b A. B$01518867 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910785087703321 996 $aOptimal stopping rules$93756663 997 $aUNINA