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Stochastic Modelling and Applied Probability

Optimal Stopping Rules

Authors: Shiryaev, Albert N.

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  • Reprinted 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 area of application of the optimal stopping theory is very broad
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eBook $69.99
price for USA in USD (gross)
  • ISBN 978-3-540-74011-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA in USD
  • ISBN 978-3-540-74010-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

Table of contents (4 chapters)

Table of contents (4 chapters)

Buy this book

eBook $69.99
price for USA in USD (gross)
  • ISBN 978-3-540-74011-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA in USD
  • ISBN 978-3-540-74010-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Optimal Stopping Rules
Authors
Translated by
Aries, A.B.
Series Title
Stochastic Modelling and Applied Probability
Series Volume
8
Copyright
2008
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-74011-7
DOI
10.1007/978-3-540-74011-7
Softcover ISBN
978-3-540-74010-0
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XII, 220
Number of Illustrations
7 b/w illustrations
Additional Information
Original Russian edition published by Nauka, Moscow, 1976, 2nd ed.
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