Stochastic Disorder Problems

DOI10.1007/978-3-030-01526-8zbMath1426.93002OpenAlexW2921069987MaRDI QIDQ4622995

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) Estimation and detection in stochastic control theory (93E10) Brownian motion (60J65) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic systems in control theory (general) (93E03) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Actuarial science and mathematical finance (91G99)

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