Stochastic Disorder Problems
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- Artikel-Nr.: 10382586
Beschreibung
Preface.- Introduction.- Probabilistic-Statistical Models in Quickest Detection Problems. Discrete and Continuous Time.- Basic Settings and Solutions of Quickest Detection Problems. Discrete Time.- Optimal Stopping Times. General Theory for the Discrete-Time Case.- Optimal Stopping Rules. General Theory for the Discrete-Time Case in the Markov Representation.- Optimal Stopping Rules. General Theory for the Continuous-Time Case.- Basic Formulations and Solutions of Quickest Detection Problems. Continuous-Time. Models with Brownian motion.- Multi-Stage Quickest Detection of Breakdown of a Stationary Regime. Model with Brownian Motion.- Disorder on Filtered Probability Spaces.- Bayesian and Variational Problems of Hypothesis Testing. Brownian Motion Models.- Applications to Financial Mathematics.- References.- Term Index.- Notation Index.
Eigenschaften
Breite: | 156 |
Gewicht: | 774 g |
Höhe: | 243 |
Länge: | 29 |
Seiten: | 397 |
Sprachen: | Englisch |
Autor: | Albert N. Shiryaev, Andrei Iacob, H. Vincent Poor |
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