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

basic 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 problemsoptimal stopping rulesquickest detection problemssolutions of the quickest detection problemsstochastic disorder problems

Mathematics Subject Classification ID

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

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