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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stochastic Disorder Problems

Stochastic Disorder Problems

Shiryaev, Albert N.
Poor, H. Vincent
Iacob, Andrei

Hardcover

Series: Probability Theory and Stochastic Modelling, Book 93

General MathematicsGeneral ScienceProbability & Statistics

ISBN10: 3030015254
ISBN13: 9783030015251
Publisher: Springer Nature
Published: Mar 20 2019
Pages: 397
Weight: 1.68
Height: 0.94 Width: 6.14 Depth: 9.21
Language: English

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.

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