Stochastic Disorder Problems

• Main Author: Shiryaev, Albert N. (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Series: Probability Theory and Stochastic Modelling, 93
• Subjects: 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.

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 a...