Stochastic Disorder Problems

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Stochastic Disorder Problems

Author : Albert N. Shiryaev
Publisher :
ISBN 13 : 9783030015275
Total Pages : 412 pages
Book Rating : 4.0/5 (152 download)

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Book Synopsis Stochastic Disorder Problems by : Albert N. Shiryaev

Download or read book Stochastic Disorder Problems written by Albert N. Shiryaev and published by . This book was released on 2019 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. 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.

Multiple Stopping Problems

Author : Georgy Sofronov
Publisher : CRC Press
ISBN 13 : 1040228925
Total Pages : 376 pages
Book Rating : 4.0/5 (42 download)

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Book Synopsis Multiple Stopping Problems by : Georgy Sofronov

Download or read book Multiple Stopping Problems written by Georgy Sofronov and published by CRC Press. This book was released on 2024-12-24 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. The book will be of interest to researchers and practitioners in fields such as economics, finance, and engineering. It could also be used by graduate students doing a research degree in insurance, economics or business analytics or an advanced undergraduate course in mathematical sciences.

Issues in Statistics, Decision Making, and Stochastics: 2013 Edition

Author :
Publisher : ScholarlyEditions
ISBN 13 : 1490110828
Total Pages : 314 pages
Book Rating : 4.4/5 (91 download)

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Book Synopsis Issues in Statistics, Decision Making, and Stochastics: 2013 Edition by :

Download or read book Issues in Statistics, Decision Making, and Stochastics: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Statistics, Decision Making, and Stochastics: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Regular and Chaotic Dynamics. The editors have built Issues in Statistics, Decision Making, and Stochastics: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Regular and Chaotic Dynamics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Statistics, Decision Making, and Stochastics: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Stochastic Disorder Problems

Author : Albert N. Shiryaev
Publisher : Springer
ISBN 13 : 9783030015251
Total Pages : 397 pages
Book Rating : 4.0/5 (152 download)

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Book Synopsis Stochastic Disorder Problems by : Albert N. Shiryaev

Download or read book Stochastic Disorder Problems written by Albert N. Shiryaev and published by Springer. This book was released on 2019-03-20 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. 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.

Optimal Stopping and Free-Boundary Problems

Author : Goran Peskir
Publisher : Springer Science & Business Media
ISBN 13 : 3764373903
Total Pages : 515 pages
Book Rating : 4.7/5 (643 download)

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Book Synopsis Optimal Stopping and Free-Boundary Problems by : Goran Peskir

Download or read book Optimal Stopping and Free-Boundary Problems written by Goran Peskir and published by Springer Science & Business Media. This book was released on 2006-11-10 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.

Advances in Finance and Stochastics

Author : Klaus Sandmann
Publisher : Springer Science & Business Media
ISBN 13 : 9783540434641
Total Pages : 346 pages
Book Rating : 4.4/5 (346 download)

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Book Synopsis Advances in Finance and Stochastics by : Klaus Sandmann

Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2002-04-23 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.

Disorder and Nonlinearity

Author : Alan R. Bishop
Publisher : Springer Science & Business Media
ISBN 13 : 3642748937
Total Pages : 151 pages
Book Rating : 4.6/5 (427 download)

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Book Synopsis Disorder and Nonlinearity by : Alan R. Bishop

Download or read book Disorder and Nonlinearity written by Alan R. Bishop and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: ill the past three decades there has been enonnous progress in identifying the es sential role that "nonlinearity" plays in physical systems. Classical nonlinear wave equations can support localized, stable "soliton" solutions, and nonlinearities in quantum systems can lead to self-trapped excitations, such as polarons. Since these nonlinear excitations often dominate the transport and response properties of the systems in which they exist, accurate modeling of their effects is essential to interpreting a wide range of physical phenomena. Further, the dramatic de velopments in "deterministic chaos", including the recognition that even simple nonlinear dynamical systems can produce seemingly random temporal evolution, have similarly demonstrated that an understanding of chaotic dynamics is vital to an accurate interpretation of the behavior of many physical systems. As a conse quence of these two developments, the study of nonlinear phenomena has emerged as a subject in its own right. During these same three decades, similar progress has occurred in understand ing the effects of "disorder". Stimulated by Anderson's pioneering work on "dis ordered" quantum solid state materials, this effort has also grown into a field that now includes a variety of classical and quantum systems and treats "disorder" arising from many sources, including impurities, random spatial structures, and stochastic applied fields. Significantly, these two developments have occurred rather independently, with relatively little overlapping research.

Probability and Statistics

Author : Cain Mckay
Publisher : Scientific e-Resources
ISBN 13 : 1839473304
Total Pages : 331 pages
Book Rating : 4.8/5 (394 download)

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Book Synopsis Probability and Statistics by : Cain Mckay

Download or read book Probability and Statistics written by Cain Mckay and published by Scientific e-Resources. This book was released on 2019-01-30 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Advances in Finance and Stochastics

Author : Klaus Sandmann
Publisher : Springer Science & Business Media
ISBN 13 : 366204790X
Total Pages : 325 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Advances in Finance and Stochastics by : Klaus Sandmann

Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2013-04-18 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.

Soft Condensed Matter: Configurations, Dynamics and Functionality

Author : A.T. Skjeltorp
Publisher : Springer Science & Business Media
ISBN 13 : 9401141894
Total Pages : 304 pages
Book Rating : 4.4/5 (11 download)

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Book Synopsis Soft Condensed Matter: Configurations, Dynamics and Functionality by : A.T. Skjeltorp

Download or read book Soft Condensed Matter: Configurations, Dynamics and Functionality written by A.T. Skjeltorp and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume comprises the proceedings of a NATO Advanced Study In stitute held at Geilo, Norway, April 6 -16 1999. The ASI was the fifteenth in a series held biannually on topics related to cooperative phenomena and phase transitions, in this case applied to soft condensed matter and its configurations, dynamics and functionality. It addressed the current experimental and theoretical knowledge of the physical properties of soft condensed matter such as polymers, gels, complex fluids, colloids, granular materials and biomaterials. The main purpose of the lectures was to obtain basic understanding of important aspects in relating molecular configurations and dynamics to macroscopic properties and biological functionality. To our knowledge, the term Soft Condensed Matter was actually coined and used for the first time in 1989 at Geilo and some selected topics of soft matter were also given at Geilo in 1991, 1993 and 1995. A return to this subject 10 years after its instigation thus allowed a fresh look and a possibility for defining new directions for research.

Order, Disorder And Criticality: Advanced Problems Of Phase Transition Theory - Volume 6

Author : Yurij Holovatch
Publisher : World Scientific
ISBN 13 : 9811216231
Total Pages : 294 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Order, Disorder And Criticality: Advanced Problems Of Phase Transition Theory - Volume 6 by : Yurij Holovatch

Download or read book Order, Disorder And Criticality: Advanced Problems Of Phase Transition Theory - Volume 6 written by Yurij Holovatch and published by World Scientific. This book was released on 2020-06-22 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the sixth volume of reviews on advanced problems of phase transitions and critical phenomena, with the first five volumes appearing in 2004, 2007, 2012, 2015, and 2018. It aims to provide an overview of those aspects of criticality and related topics that have attracted much attention due to the recent contributions. The six chapters discuss criticality of complex systems, where the new, emergent properties appear via collective behaviour of simple elements. Since all complex systems involve cooperative behaviour between many interconnected components, the field of phase transitions and critical phenomena provides a very natural conceptual and methodological framework for their study.As for the previous volumes, this book is based on the review lectures that were given in Lviv (Ukraine) at the 'Ising lectures' — a traditional annual workshop on phase transitions and critical phenomena which aims to bring together scientists working in the field of phase transitions with university students and those who are interested in the topic.The level of presentation makes the book readable both for professionals and the students in the field. On a larger scale, the book may contribute to promoting and deepening studies of phase transitions and critical phenomena.

Control Abstracts

Author :
Publisher :
ISBN 13 :
Total Pages : 956 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Control Abstracts by :

Download or read book Control Abstracts written by and published by . This book was released on 1967 with total page 956 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistics of Random Processes II

Author : Robert Shevilevich Lipt︠s︡er
Publisher : Springer Science & Business Media
ISBN 13 : 9783540639282
Total Pages : 428 pages
Book Rating : 4.6/5 (392 download)

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Book Synopsis Statistics of Random Processes II by : Robert Shevilevich Lipt︠s︡er

Download or read book Statistics of Random Processes II written by Robert Shevilevich Lipt︠s︡er and published by Springer Science & Business Media. This book was released on 2001 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW

Algorithmic Learning in a Random World

Author : Vladimir Vovk
Publisher : Springer Nature
ISBN 13 : 3031066499
Total Pages : 490 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Algorithmic Learning in a Random World by : Vladimir Vovk

Download or read book Algorithmic Learning in a Random World written by Vladimir Vovk and published by Springer Nature. This book was released on 2022-12-13 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is about conformal prediction, an approach to prediction that originated in machine learning in the late 1990s. The main feature of conformal prediction is the principled treatment of the reliability of predictions. The prediction algorithms described — conformal predictors — are provably valid in the sense that they evaluate the reliability of their own predictions in a way that is neither over-pessimistic nor over-optimistic (the latter being especially dangerous). The approach is still flexible enough to incorporate most of the existing powerful methods of machine learning. The book covers both key conformal predictors and the mathematical analysis of their properties. Algorithmic Learning in a Random World contains, in addition to proofs of validity, results about the efficiency of conformal predictors. The only assumption required for validity is that of "randomness" (the prediction algorithm is presented with independent and identically distributed examples); in later chapters, even the assumption of randomness is significantly relaxed. Interesting results about efficiency are established both under randomness and under stronger assumptions. Since publication of the First Edition in 2005 conformal prediction has found numerous applications in medicine and industry, and is becoming a popular machine-learning technique. This Second Edition contains three new chapters. One is about conformal predictive distributions, which are more informative than the set predictions produced by standard conformal predictors. Another is about the efficiency of ways of testing the assumption of randomness based on conformal prediction. The third new chapter harnesses conformal testing procedures for protecting machine-learning algorithms against changes in the distribution of the data. In addition, the existing chapters have been revised, updated, and expanded.

Scientific and Technical Aerospace Reports

Author :
Publisher :
ISBN 13 :
Total Pages : 892 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Scientific and Technical Aerospace Reports by :

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1994 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Great Investment Ideas

Author : William T Ziemba
Publisher : World Scientific Publishing Company
ISBN 13 : 9813144386
Total Pages : 297 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Great Investment Ideas by : William T Ziemba

Download or read book Great Investment Ideas written by William T Ziemba and published by World Scientific Publishing Company. This book was released on 2016-09-08 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Great Investment Ideas is a collection of articles published in the Journal of Portfolio Management from 1993 to 2015. The book contains useful ideas for investment management and trading and discusses the methods, results and evaluation of great investors. It also covers important topics such as the effect of errors in means, variances and co-variances in portfolio selection problems, stock market crashes and stock market anomalies, portfolio theory and practice, evaluation theory, etc. This book is a must-have publication for investors and financial experts, researchers and graduate students in finance.

Nonparametric Methods in Change Point Problems

Author : E. Brodsky
Publisher : Springer Science & Business Media
ISBN 13 : 9401581630
Total Pages : 221 pages
Book Rating : 4.4/5 (15 download)

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Book Synopsis Nonparametric Methods in Change Point Problems by : E. Brodsky

Download or read book Nonparametric Methods in Change Point Problems written by E. Brodsky and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: The explosive development of information science and technology puts in new problems involving statistical data analysis. These problems result from higher re quirements concerning the reliability of statistical decisions, the accuracy of math ematical models and the quality of control in complex systems. A new aspect of statistical analysis has emerged, closely connected with one of the basic questions of cynergetics: how to "compress" large volumes of experimental data in order to extract the most valuable information from data observed. De tection of large "homogeneous" segments of data enables one to identify "hidden" regularities in an object's behavior, to create mathematical models for each seg ment of homogeneity, to choose an appropriate control, etc. Statistical methods dealing with the detection of changes in the characteristics of random processes can be of great use in all these problems. These methods have accompanied the rapid growth in data beginning from the middle of our century. According to a tradition of more than thirty years, we call this sphere of statistical analysis the "theory of change-point detection. " During the last fifteen years, we have witnessed many exciting developments in the theory of change-point detection. New promising directions of research have emerged, and traditional trends have flourished anew. Despite this, most of the results are widely scattered in the literature and few monographs exist. A real need has arisen for up-to-date books which present an account of important current research trends, one of which is the theory of non parametric change--point detection.