from August 22, 2011 to September 3, 2011 (Europe/Ljubljana)
Europe/Ljubljana timezone
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":

  • Examples and stochastic models (parametric and Bayesian);
  • Basic variants of the problems of the quickest detection;
with using results of the
  • General theory of optimal stopping (discrete time).


References:

  • 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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