From Disorder Detection to Optimal Stopping and Mathematical Finance

DOI10.1080/07474941003740971zbMath1190.62149OpenAlexW2074686720MaRDI QIDQ3578018

Alexander G. Tartakovsky, Robert Sh. Liptser

Publication date: 13 July 2010

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474941003740971

zbMATH Keywords

optimal stoppinghypothesis testingfinancesequential analysischangepoint detection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

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