Name: Stochastic Disorder Problems (Probability Theory and Stochastic Modelling) (en Inglés)
Price: 546110.00 COP
Availability: InStock
Author: Albert N. Shiryaev
ISBN: 9783030015251

portada Stochastic Disorder Problems (Probability Theory and Stochastic Modelling) (en Inglés)

Formato

Libro Físico

Editorial

Springer

Autor

Albert N. Shiryaev

Año

2019

Idioma

Inglés

N° páginas

397

Encuadernación

Tapa Dura

ISBN13

9783030015251

N° edición

Categorías

Matemáticas aplicadas

Stochastic Disorder Problems (Probability Theory and Stochastic Modelling) (en Inglés)

Albert N. Shiryaev (Autor) · Springer · Tapa Dura

Libro Físico

$ 546.110

$ 910.184

Ahorras: $ 364.073

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Origen: Estados Unidos (Costos de importación incluídos en el precio)

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Reseña del libro "Stochastic Disorder Problems (Probability Theory and Stochastic Modelling) (en Inglés)"

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.