Stochastic Disorder Problems [[electronic resource] /] / by Albert N. Shiryaev |
Autore | Shiryaev Albert N |
Edizione | [1st ed. 2019.] |
Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2019 |
Descrizione fisica | 1 online resource (XIX, 397 p. 27 illus.) |
Disciplina | 519 |
Collana | Probability Theory and Stochastic Modelling |
Soggetto topico |
System theory
Probabilities Statistics Economics, Mathematical Finance—Mathematics Systems Theory, Control Probability Theory and Stochastic Processes Statistical Theory and Methods Quantitative Finance Financial Mathematics Bayesian Inference |
ISBN | 3-030-01526-2 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 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. |
Record Nr. | UNINA-9910735780803321 |
Shiryaev Albert N | ||
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2019 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|
Stochastic Disorder Problems / Albert N. Shiryaev |
Autore | Shiryaev, Albert N. |
Pubbl/distr/stampa | Cham, : Springer, 2019 |
Descrizione fisica | xix, 397 p. ; 24 cm |
Soggetto topico |
62Lxx - Sequential statistical methods [MSC 2020]
91B06 - Decision theory [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 62Cxx - Statistical decision theory [MSC 2020] 93-XX - Systems theory; control [MSC 2020] 91A60 - Probabilistic games; gambling [MSC 2020] |
Soggetto non controllato |
Basic settings of quickest detection problems
Breakdown of a Stationary Regime Brownian Motions Discrete and Continuous Time Disorder on Filtered Probability Spaces Dynamical analysis of statistical data Formulations of quickest detection problems Mathematical Finance Multi-Stage Quickest Detection Optimal stopping rules Optimal stopping times Quantitative Finance Quickest detection problems Solutions of quickest detection problems Stochastic disorder problems |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0127168 |
Shiryaev, Albert N. | ||
Cham, : Springer, 2019 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
Stochastic Disorder Problems / Albert N. Shiryaev |
Autore | Shiryaev, Albert N. |
Edizione | [Cham : Springer, 2019] |
Descrizione fisica | Pubblicazione in formato elettronico |
Soggetto topico |
62Lxx - Sequential statistical methods [MSC 2020]
91B06 - Decision theory [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 62Cxx - Statistical decision theory [MSC 2020] 93-XX - Systems theory; control [MSC 2020] 91A60 - Probabilistic games; gambling [MSC 2020] |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-SUN0127168 |
Shiryaev, Albert N. | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
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