Stochastic disorder problems

DOI10.1007/978-3-030-01526-8MaRDI QIDQ4622995zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev

Publication date 18 February 2019

Published in Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-01526-8

zbMATH Keywords

optimal stopping rulesbasic settings of the quickest detection problemsbreakdown of a stationary regimeBrownian motion, multi-stage the quickest detectiondiscrete and continuous time optimal stopping timesdisorder on filtered probability spacesdynamical analysis of statistical dataformulations of the quickest detection problemsquickest detection problemssolutions of the quickest detection problemsstochastic disorder problems

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Bayesian problems; characterization of Bayes procedures (62C10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial science and mathematical finance (91G99) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)

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• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
• Rationalization of detection of the multiple disorders
• Detection of the corner structures in 3D arrays using scalable masks
• The general discrete time disorder problem
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• Disorder indicator for nonstationary stochastic processes
• The CUSUM statistics of change-point models based on dependent sequences

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