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Multiple Stopping Problems: Unilateral and Multilateral Approaches

Multiple Stopping Problems: Unilateral and Multilateral Approaches

Paperback

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 1032525444
ISBN13: 9781032525440
Publisher: CRC Press
Published: Dec 24 2024
Pages: 354
Weight: 1.16
Height: 0.78 Width: 6.14 Depth: 9.21
Language: English

This book presents the theory of rational decisions involving the selection of stopping times in observed discrete-time stochastic processes, both by single and multiple decision-makers. Readers will become acquainted with the models, strategies, and applications of these models.

It begins with an examination of selected models framed as stochastic optimization challenges, emphasizing the critical role of optimal stopping times in sequential statistical procedures. The authors go on to explore models featuring multiple stopping and shares on leading applications, particularly focusing on change point detection, selection problems, and the nuances of behavioral ecology. In the following chapters, an array of perspectives on model strategies is presented, elucidating their interpretation and the methodologies underpinning their genesis. Essential notations and definitions are introduced, examining general theorems about solution existence and structure, with an intricate analysis of optimal stopping predicaments and addressing crucial multilateral models. The reader is presented with the practical application of models based on multiple stopping within stochastic processes. The coverage includes a diverse array of domains, including sequential statistics, finance, economics, and the broader generalization of the best-choice problem. Additionally, it delves into numerical and asymptotic solutions, offering a comprehensive exploration of optimal stopping quandaries.

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Sofronov, Georgy

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Probability & Statistics