Monte Carlo Methods for Adaptive Disorder Problems

DOI10.1007/978-3-642-25746-9_3zbMath1252.65007OpenAlexW73964665MaRDI QIDQ2917426

Michael Ludkovski

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_3

zbMATH Keywords

numerical examplesoptimal stoppingstatistical signal processingBayes riskparticle filteringstochastic filteringregression Monte Carloadaptive disorderdisorder detectionWiener and Poisson observation processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian problems; characterization of Bayes procedures (62C10) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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