Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
scientific article; zbMATH DE number 3607222 - MaRDI portal

scientific article; zbMATH DE number 3607222

From MaRDI portal
Publication:4172681

zbMath0391.60002MaRDI QIDQ4172681

Albert N. Shiryaev

Publication date: 1978


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Stability Estimation of Transient Markov Decision ProcessesMonitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variablesOptimal Closing of a Momentum TradeA new method of valuing American options based on Brownian modelsBayesian Sequential Composite Hypothesis Testing in Discrete TimeGeneral optimal stopping with linear costA general method for finding the optimal threshold in discrete timeOptimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation SequencesUnnamed ItemBayesian stoppingAn optimization method for change-point monitoring in finite samples sequenceRisk-Averse Stochastic Programming: Time Consistency and Optimal StoppingFinite horizon sequential detection with exponential penalty for the delayOptimal execution with multiplicative price impact and incomplete information on the returnA numerical approach to sequential multi-hypothesis testing for Bernoulli modelBayesian quickest detection of credit card fraudOptimal stopping with expectation constraintsOn the Continuity of Optimal Stopping Surfaces for Jump-DiffusionsModel misspecification in discrete time Bayesian online change detectionAsymptotics of impulse control problem with multiplicative rewardModeling and quickest detection of a rapidly approaching objectQuickest change detection in statistically periodic processes with unknown post-change distributionDiffusion spiders: Green kernel, excessive functions and optimal stoppingLong-Run Impulse Control with Generalized DiscountingMonotonicity and robustness in Wiener disorder detectionLong-Run Risk-Sensitive Impulse ControlDEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATIONOPTIMAL STOPPING WITH DELAYED INFORMATIONPRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATIONThe linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal eventsOptimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion ProcessFailure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-InconsistencyPREVENTION OF CATASTROPHIC FAILURES WITH WEAK FOREWARNING SIGNALSBayesian Quickest Detection Problems for Some Diffusion ProcessesDiscussion on “Change-Points: From Sequential Detection to Biology and Back” by David SiegmundSequential Testing Problems for Lévy ProcessesOptimal Sequential Change Detection for Fractional Diffusion-Type ProcessesTwo-sided search and perfect segregation with fixed search costsOn Minimax Duality in Optimal StoppingSearching stochastically generated multi-abstraction-level design spacesDiscussion on “Life and Work of Bhaskar Kumar Ghosh” by Pranab Kumar SenDiscounted Optimal Stopping for Maxima of Some Jump-Diffusion ProcessesFoster-type criteria for Markov chains on general spacesMonitoring a Poisson process subject to gradual changes in the arrival ratesWhen do borrowing constraints bind? Some new results on the income fluctuation problemOptimal stopping, free boundary, and American option in a jump-diffusion modelSequential multi-hypothesis testing for compound Poisson processesOne-sided solutions for optimal stopping problems with logconcave reward functionsSequential hypothesis tests under random horizonOn the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusionDiscussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. ShiryaevDiscussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne FrisénOptimal Stopping Problem with a Vector-Valued Reward FunctionAsymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time ModelsUnnamed ItemA Forward Algorithm for Solving Optimal Stopping ProblemsOptimal Equilibria for Multidimensional Time-Inconsistent Stopping ProblemsA Dynkin Game on Assets with Incomplete Information on the ReturnClearing in Financial NetworksVariance Optimal Stopping for Geometric Lévy ProcessesON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELSA Linear Programming Approach to Sequential Hypothesis TestingMonitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknownOn the forward algorithm for stopping problems on continuous-time Markov chainsOptimal sequential tests for detection of changes under finite measure space for finite sequences of networksImpulse control of a diffusion with a change pointThe controller-and-stopper game for a linear diffusion.Value iteration methods in risk minimizing stopping problemsA bilevel programming approach to double optimal stoppingOptimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequalityOptimality of the CUSUM procedure in continuous time.From perpetual strangles to Russian optionsAn optimal stopping problem with finite horizon for sums of i.i.d. random variablesDetecting the presence of a random drift in Brownian motionOperation comfort of multistate system vs. the importance of its componentsHitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricingOptimal stopping time on semi-Markov processes with finite horizonDetecting changes in signals and systems - a surveyThe Wiener disorder problem with finite horizonSequential testing of simple hypotheses about compound Poisson processesCostly sequential experimentation and project valuation with an application to health technology assessmentOn data-based optimal stopping under stationarity and ergodicityOptimal switching problems of tandem typeThe existence and properties of the solution of a class of nonlinear differential equations with switching at variable timesThe tree-cutting problem in a stochastic environment: The case of age- dependent growthThe disorder problem for diffusion processes with the \(\epsilon \)-linear and expected total miss criteriaInfinitesimal generators for two-dimensional Lévy process-driven hypothesis testingExit strategies and price uncertainty: A Greenian approachPricing permanent convertible bonds in EVG modelThe trap of complacency in predicting the maximumOn change-point estimation under Sobolev sparsityA mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systemsState-of-the-art in sequential change-point detectionTiming in the presence of directional predictability: optimal stopping of skew Brownian motionA dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraintsExercising control when confronted by a (Brownian) spiderReserve-dependent surrender ratesMultisource Bayesian sequential binary hypothesis testing problemEKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibilityStopping rules and tactics for processes indexed by a directed setOptimal stopping under probability distortionOptimal stopping problems for some Markov processesMaximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' processOn the problems of sequential statistical inference for Wiener processes with delayed observationsOptimal patch use in a stochastic environmentDecision and game theory for security. Second international conference, GameSec 2011, College Park, MD, Maryland, USA, November 14--15, 2011. ProceedingsOptimal, quality-aware scheduling of data consumption in mobile ad hoc networksA unified framework for stochastic optimizationHerbert Robbins and sequential analysisExit problems for spectrally negative Lévy processes and applications to (Canadized) Russian optionsOn the existence of solutions of unbounded optimal stopping problemsSequential testing of hypotheses about drift for Gaussian diffusionsExact and approximate Nash equilibria in discounted Markov stopping games with terminal redemptionOptimal buying at the global minimum in a regime switching modelOptimal variance stopping with linear diffusionsEquilibrium exit in stochastically declining industriesOptimal on-line detection of outside observationsOn-line detection of a part of a sequence with unspecified distributionThe integral option in a model with jumpsExistence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed controlTracking a random walk first-passage time through noisy observationsA regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete timeA note on a nonlinear functional equation and its applicationAsymptotic operating characteristics of an optimal change point detection in hidden Markov modelsFull-information best choice game with hintOn two estimates related to the change-point problemThe right time to sell a stock whose price is driven by Markovian noiseOn the convergence from discrete to continuous time in an optimal stopping problem.Monte Carlo algorithms for optimal stopping and statistical learningThe disorder problem for compound Poisson processes with exponential jumpsDetection of intrusions in information systems by sequential change-point methodsOptimal stopping of oscillating Brownian motionOn the Wiener disorder problemDynamic optimality in optimal variance stopping problemsRisk sensitive optimal stoppingOptimal dividends with partial information and stopping of a degenerate reflecting diffusionExistence of optimal controls for singular control problems with state constraintsFinite-horizon optimal investment with transaction costs: a parabolic double obstacle problemOn absolute continuity and singularity of multidimensional diffusionsInfinite horizon stopping problems with (nearly) total reward criteriaOptimal expulsion and optimal confinement of a Brownian particle with a switching costConnections between optimal stopping and singular stochastic controlSequential Wald test employing a constrained filter bank: application to spacecraft conjunctionsSequential tracking of a hidden Markov chain using point process observationsProphet inequalities for cost of observation stopping problemsNash equilibria in a class of Markov stopping games with total reward criterionDiffusion approximations and nearly optimal maintenance policies for system breakdown and repair problemsBayesian sequential least-squares estimation for the drift of a Wiener processRisk-sensitive optimal stopping with unbounded terminal cost functionOn the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delayOptimal stopping and a martingale approach to the penalty methodQuickest real-time detection of a Brownian coordinate driftA simulation approach to optimal stopping under partial informationControl and stopping of a diffusion process on an intervalLong-term average cost control problems for continuous time Markov processes: A surveyTwo armed bandits with change point in one armSequential testing problems for Poisson processes.The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problemQuickest detection with exponential penalty for delayDesigning options given the risk: The optimal Skorokhod-embedding problemSum the odds to one and stopOn a generalized disorder problemOn sticky bookmaking as a learning device in horse-racing betting marketsImpulse control of stochastic Navier-Stokes equationsOptimal online detection of parameter changes in two linear modelsAsymptotic behavior of posterior distribution of the change-point parameterOptimal stopping problems with restricted stopping timesThe Impact of Intensity in Surveillance of Cyclical ProcessesA Bayesian-martingale approach to the general disorder problemA partial history of the early development of continuous-time nonlinear stochastic systems theoryFinite Horizon Decision Timing with Partially Observable Poisson ProcessesOptimal stopping and free boundary characterizations for some Brownian control problemsTwo Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ StrategySelection of a correlated equilibrium in Markov stopping gamesNon-randomized strategies in stochastic decision processesReducing transaction costs with low-latency trading algorithmsMarkov stopping games with random priorityDetecting changes in real-time data: a user’s guide to optimal detectionOn the Pricing of Perpetual American Compound OptionsInput design for detection of abrupt changes in dynamical systemsGlobal \(C^1\) regularity of the value function in optimal stopping problemsOptimal real-time detection of a drifting Brownian coordinateAsymptotically Pointwise Optimal Change Detection in Multiple ChannelsAn analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approachPareto Optimality in a Bicriterion Optimal Stopping ProblemOn the sequential testing and quickest change-point detection problems for Gaussian processesStochastic discretized learning-based weak estimation: a novel estimation method for non-stationary environmentsIntervene in advance or passively? Analysis and application on congestion control of smart gridUnnamed ItemMultisource Bayesian sequential change detectionSequential change detection revisitedSequential testing problems for Bessel processesAsymptotic optimality of the wald sequential testMaximal Exponential Inequalities for Certain Diffusion ProcessesMultidecision Quickest Change-Point Detection: Previous Achievements and Open ProblemsAn optimal sequential procedure for determining the drift of a Brownian motion among three valuesDiscussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous timeFinite-Fuel Singular Control With Discretionary StoppingBayesian Sequential Testing Problem for a Brownian BridgeSequential Testing of Two Hypotheses for a Stationary Ornstein--Uhlenbeck ProcessOptimal stopping in infinite horizon: an eigenfunction expansion approachSELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODELAn effective method for the explicit solution of sequential problems on the real lineOn the quasi-stationary distribution of the Shiryaev–Roberts diffusionOn a problem of optimal stopping in mathematical financeOn Wald Optimal Stopping Problem for Geometric Brownian MotionsAsymptotically Optimal Quickest Change Detection in Distributed Sensor SystemsOn a decomposition result in a Dynkin stopping gameOn optimal stopping of risk processes with regime switchingSequential testing of a Wiener process with costly observationsSome optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock indexA dynamic look-ahead Monte Carlo algorithm for pricing Bermudan optionsA game version of the Cowan-Zabczyk-Bruss' problemConstruction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional DiffusionsBAYES STOPPING RULES IN A CHANGE-POINT MODEL WITH A RANDOM HAZARD RATEFrom Disorder Detection to Optimal Stopping and Mathematical FinanceState-of-the-Art in Bayesian Changepoint DetectionSequential Change-Point Detection When the Pre- and Post-Change Parameters are UnknownFinite expiry Russian optionsAn optimal stopping problem in a diffusion-type model with delaySequential change-point detection when unknown parameters are present in the pre-change distributionA remark on optimal variance stopping problemsPRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODELA Note on “The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes” by Han and TsungOptimal Stopping Rules for American and Russian Options in a Correlated Random Walk ModelOptimal sequential testing for an inverse Gaussian processExact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setupAn iterative procedure for solving integral equations related to optimal stopping problemsAn Elementary Approach to Optimal Stopping Problems for AR(1) SequencesThe disorder problem for purely jump Lévy processes with completely monotone jumpsOptimal multistage sequential hypothesis testingOnline Change Detection for a Poisson Process with a Phase-Type Change-Time Prior DistributionOn Some Optimal Stopping Problems with ConstraintOptimal strategies in a risky debt contextCylindrical martingale problems associated with Lévy generatorsHigh-dimensional change-point detection under sparse alternativesA Bayesian Approach to Sequential Surveillance in Exponential FamiliesNonlinear semigroups associated with optimal stopping of controlled diffusions under partial observationStopping with expectation constraints: 3 points sufficeOn the optimal stopping with incomplete dataApproximately Optimal Continuous Stopping Boundaries in a One-Sided Standard Sequential TestExplicit solutions to some optimal variance stopping problemsOn the sequential testing problem for some diffusion processesOn the structure of discounted optimal stopping problems for one-dimensional diffusionsOptimal detection of transition probability change in random sequenceA multiple hypothesis testing approach to detection changes in distributionChange-point problems: bibliography and reviewOptimal stopping of one-dimensional diffusions with integral criteriaMonte Carlo methods for pricing financial optionsA note on Yoshida's optimal stopping model for option pricingSome remarks on first passage of Lévy processes, the American put and pasting principlesOn the Wald's Sequential Probability Ratio Test for Lévy ProcessesChange-Point Detection in Binomial Thinning Processes, with Applications in EpidemiologyOn the optimal stopping problem for one-dimensional diffusions.Generalized parking problems for levy processesThe American put option in a one-dimensional diffusion model with level-dependent volatilityA digitalized employee optionPerpetual barrier options in jump-diffusion modelsOptimal stopping via measure transformation: the Beibel–Lerche approachPrinciple of smooth fit and diffusions with anglesNecessary and sufficient conditions for the pointwise convergence of nearest neighbor regression function estimatesCharacterization of optimality in classes of ``truncatable stopping rulesCHARACTERIZATIONS OF OPTIMAL POLICIES IN A GENERAL STOPPING PROBLEM AND STABILITY ESTIMATINGOn existence of solutions of multivalued stochastic differential equations with discontinuous coefficientsSolving non–linear optimal stopping problems by the method of time–changeBayesian testing simple hypotheses on The drift of a wiener process With randomly relayed observations




This page was built for publication: