Albert N. Shiryaev: Introduction to optimal stopping
The general theory of the optimal stopping is well presented in the well-known, published many years ago, books of Chao-Robbins-Siegmund
and Shiryaev and in recent book of Peskir-Shiryaev. For clarity our "optimal stopping lectures" will be concentrated on the topic
"Quickest detection of spontaneously appearing effects":
with using results of the
- Examples and stochastic models (parametric and Bayesian);
- Basic variants of the problems of the quickest detection;
- General theory of optimal stopping (discrete time).
- G. Peskir, A. Shiryaev: Optimal Stopping and Free-Boundary Problems, Basel, Birkhäuser, 2006
- H. Robbins, D. Siegmund, Y. S. Chow: Great Expectations: The Theory of Optimal Stopping, Boston, Houghton Mifflin, 1971
>> Abstract in pdf format
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