Articles liés à Stochastic Disorder Problems
Synopsis
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.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Stochastic Disorder Problems (Probability Theory and Stochastic Modelling) (Volume 93)
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Springer, 2019
ISBN 10 : 3030015254
ISBN 13 : 9783030015251
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Etat : Good. 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. N° de réf. du vendeur 9297024
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Stochastic Disorder Problems.
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XIX, 397 p. Hardcover. Versand aus Deutschland / We dispatch from Germany via Air Mail. Einband bestoßen, daher Mängelexemplar gestempelt, sonst sehr guter Zustand. Imperfect copy due to slightly bumped cover, apart from this in very good condition. Stamped. Sprache: Englisch. N° de réf. du vendeur 12102DB
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Stochastic Disorder Problems (Probability Theory and Stochastic Modelling, 93)
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Stochastic Disorder Problems
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Stochastic Disorder Problems (Probability Theory and Stochastic Modelling, 93)
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Stochastic Disorder Problems (Hardcover)
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Hardcover. Etat : new. Hardcover. 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. This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. N° de réf. du vendeur 9783030015251
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Stochastic Disorder Problems (Probability Theory and Stochastic Modelling, 93)
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Stochastic Disorder Problems (Probability Theory and Stochastic Modelling, 93)
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Stochastic Disorder Problems
Edité par
Springer, 2019
ISBN 10 : 3030015254
ISBN 13 : 9783030015251
Ancien ou d'occasion
Couverture rigide
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
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Stochastic Disorder Problems
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Springer International Publishing Mrz 2019, 2019
ISBN 10 : 3030015254
ISBN 13 : 9783030015251
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Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 studentsinterested in probability, decision theory and statistical sequential analysis will find this book useful. 420 pp. Englisch. N° de réf. du vendeur 9783030015251
Quantité disponible : 2 disponible(s)