Stochastic Disorder Problems
Пра гэту электронную кнігу
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 problems. The last chapter presents applications to financial markets.
Researchers and graduate students interested in probability, decision theory and statistical sequential analysis will find this book useful.
Звесткі пра аўтара
Albert N. Shiryaev is Chief Scientific Researcher and Professor of Probability Theory and Mathematical Statistics at the Steklov Mathematical Institute of the Russian Academy of Sciences and Head of the Department of Probability Theory in the Mechanics and Mathematics Faculty at Lomonosov Moscow State University. He is the author of several books, including Problems in Probability [translated by Andrew Lyasov], Optimal Stopping Rules [translated by A.B. Aries], and Statistics of Random Processes [with Robert S. Liptser]. He was the recipient of the A.A.MarkovPrize in 1974, of the A.N.Kolmogorov Prize in 1994, and of the Golden P.L.Chebyshev Medal of the Russian Academy of Science in 2017.
