In the end of Chapter I we have seen that the optimal stopping problem for a Markov process
X with the value function V is equivalent to the problem of finding the smallest …

The global temperatures over the period 1850–1900 are widely used by academia and
policymaker as a pre-industrial baseline to assess global warming, but there remains a clear …

The real-time detection of changes in a noisily observed signal is an important problem in
applied science and engineering. The study of parametric optimal detection theory began in …

We study the Bayesian problems of detecting a change in the drift rate of an observable
diffusion process with linear and exponential penalty costs for a detection delay. The optimal …

Consider the motion of a Brownian particle that initially takes place in a two-dimensional
plane and then after some random/unobservable time continues in the three-dimensional …

Investors decide the best time to take a given action by maximizing their utility function while
taking into account current information and the underlying process in the optimal stopping …

In the present monograph, which most directly relates to the probabilistic-statistical fields
known as “decision theory” and “statistical sequential analysis,” the main focus is on those …

This paper addresses the risk of fraud in credit card transactions by developing a
probabilistic model for the quickest detection of illegitimate purchases. Using optimal …

In this paper, the authors apply a continuous-time stochastic process model developed by
Shiryaev and Zhutlukhin for optimally stopping random price processes that appear to be …

The paper deals with the problem of finding an optimal one-time rebalancing strategy
assuming that in the Black–Scholes model the drift term of the stock may change its value …