书目名称 | Stochastic Disorder Problems | 编辑 | Albert N. Shiryaev | 视频video | http://file.papertrans.cn/878/877920/877920.mp4 | 概述 | Provides the theory and methods to solve stochastic quickest detection tasks in disorder problems.Shows that most quickest detection problems can be reformulated as optimal stopping problems.Examines | 丛书名称 | Probability Theory and Stochastic Modelling | 图书封面 |  | 描述 | .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 pr | 出版日期 | Book 2019 | 关键词 | 93-XX, 60G40, 62Cxx, 62L10, 62L15, 91A60, 91B06; dynamical analysis of statistical data; stochastic di | 版次 | 1 | doi | https://doi.org/10.1007/978-3-030-01526-8 | isbn_ebook | 978-3-030-01526-8Series ISSN 2199-3130 Series E-ISSN 2199-3149 | issn_series | 2199-3130 | copyright | Springer Nature Switzerland AG 2019 |
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