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Erschienen in:
Probabilistic-Statistical Models in Quickest Detection Problems. Discrete and Continuous Time Kapitel lesen Erstes Kapitel lesen

2019 | OriginalPaper | Buchkapitel

5. Optimal Stopping Rules. General Theory for the Continuous-Time Case

verfasst von : Albert N. Shiryaev

Erschienen in: Stochastic Disorder Problems

Verlag: Springer International Publishing

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Abstract

1. We assume that there are given a filtered probability space \((\Omega , \mathcal {F}, (\mathcal {F}_t)_{t \geqslant 0}, \mathrm {P})\) and a family of stochastic processes \(H =(H_t)_{t \geqslant 0}\), where H t will be interpreted as the payoff if the stopping occurs at the time t.

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Vorheriges Kapitel Optimal Stopping Rules. General Theory for the Discrete-Time Case in the Markov Representation
Nächstes Kapitel Basic Formulations and Solutions of Quickest Detection Problems. Continuous Time. Models with Brownian Motion
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Metadaten
Titel
Optimal Stopping Rules. General Theory for the Continuous-Time Case
verfasst von
Albert N. Shiryaev
Copyright-Jahr
2019
Buch
Stochastic Disorder Problems

Print ISBN: 978-3-030-01525-1

Electronic ISBN: 978-3-030-01526-8

Copyright-Jahr: 2019

DOI
https://doi.org/10.1007/978-3-030-01526-8_5

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