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Book
Stochastic partial differential equations : six perspectives
Authors: ---
ISBN: 0821821008 Year: 1999 Publisher: Providence (R.I.): American Mathematical Society

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Multi
Optimal Stopping Rules
Authors: --- ---
ISBN: 9783540740117 Year: 2008 Publisher: Berlin, Heidelberg Springer-Verlag Berlin Heidelberg

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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.


Book
Optimal Stopping Rules
Authors: --- --- ---
ISBN: 9783540740117 Year: 2008 Publisher: New York NY Springer New York

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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.

Stochastic modelling in physical oceanography
Authors: --- ---
ISBN: 0817637982 3764337982 Year: 1996 Volume: 39 Publisher: Boston : Birkhäuser,

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Digital
Fundamentals of Stochastic Filtering
Authors: --- --- --- --- --- et al.
ISBN: 9780387768960 Year: 2009 Publisher: New York, NY Springer New York


Digital
Probability Theory and Mathematical Statistics : Proceedings of the Fourth Vilnius Conference, Vilnius, USSR, 24-29 June 1985. . Vol. 2
Authors: --- --- --- --- --- et al.
ISBN: 9783112313985 9783112302712 Year: 2020 Publisher: Berlin ;; Boston De Gruyter

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Keywords

Mathematics

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