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Optimal Stopping Rules / by Albert N. Shiryaev
(Stochastic Modelling and Applied Probability. ISSN:2197439X ; 8)
版 | 1st ed. 2008. |
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出版者 | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer |
出版年 | 2008 |
本文言語 | 英語 |
大きさ | XII, 220 p. 7 illus : online resource |
著者標目 | *Shiryaev, Albert N author SpringerLink (Online service) |
件 名 | LCSH:Probabilities LCSH:Statistics FREE:Probability Theory FREE:Statistics in Business, Management, Economics, Finance, Insurance |
一般注記 | Random Processes: Markov Times -- Optimal Stopping of Markov Sequences -- Optimal Stopping of Markov Processes -- Some Applications to Problems of Mathematical Statistics Although three decades have passed since first publication of this book reprinted now as a result of popular demand, the content remains up-to-date and interesting for many researchers as is shown by the many references to it in current publications. The "ground floor" of Optimal Stopping Theory was constructed by A.Wald in his sequential analysis in connection with the testing of statistical hypotheses by non-traditional (sequential) methods. It was later discovered that these methods have, in idea, a close connection to the general theory of stochastic optimization for random processes. The area of application of the Optimal Stopping Theory is very broad. It is sufficient at this point to emphasise that its methods are well tailored to the study of American (-type) options (in mathematics of finance and financial engineering), where a buyer has the freedom to exercise an option at any stopping time. In this book, the general theory of the construction of optimal stopping policies is developed for the case of Markov processes in discrete and continuous time. One chapter is devoted specially to the applications that address problems of the testing of statistical hypotheses, and quickest detection of the time of change of the probability characteristics of the observable processes. The author, A.N.Shiryaev, is one of the leading experts of the field and gives an authoritative treatment of a subject that, 30 years after original publication of this book, is proving increasingly important HTTP:URL=https://doi.org/10.1007/978-3-540-74011-7 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9783540740117 |
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EB00231664 |
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データ種別 | 電子ブック |
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分 類 | LCC:QA273.A1-274.9 DC23:519.2 |
書誌ID | 4000114922 |
ISBN | 9783540740117 |
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※2017年9月4日以降