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PRINTED BOOKS
Author Poor, H. Vincent.

Title Quickest detection / H. Vincent Poor, Olympia Hadjiliadis.

Published Cambridge U.K. : Cambridge University Press, 2009.

Copies

Location Call No. Status
 UniM ERC  519.55 POOR    AVAILABLE
Physical description xii, 229 pages : illustrations ; 26 cm
Contents 1 Introduction 1 -- 2 Probabilistic framework 6 -- 2.1 Introduction 6 -- 2.2 Basic setting 6 -- 2.3 Martingales and stopping times 18 -- 2.4 Brownian motion and Poisson processes 27 -- 2.5 Continuous-time semimartingales 32 -- 2.6 Stochastic integration 34 -- 3 Markov optimal stopping theory 40 -- 3.1 Introduction 40 -- 3.2 Markov optimal stopping problems 40 -- 3.3 Finite-horizon case: dynamic programming 41 -- 3.4 Infinite-horizon case 50 -- 3.5 Markov optimal stopping in continuous time 60 -- 3.6 Appendix: a proof of Lemma 3.8 61 -- 4 Sequential detection 65 -- 4.1 Introduction 65 -- 4.2 Optimal detection 65 -- 4.3 Performance analysis 74 -- 4.4 Continuous-time case 81 -- 4.5 Discussion 101 -- 5 Bayesian quickest detection 102 -- 5.1 Introduction 102 -- 5.2 Shiryaev's problem 103 -- 5.3 Continuous-time case 109 -- 5.4 A probability maximizing approach 122 -- 5.5 Other penalty functions 124 -- 5.6 A game theoretic formulation 125 -- 5.7 Discussion 128 -- 6 Non-Bayesian quickest detection 130 -- 6.1 Introduction 130 -- 6.2 Lorden's problem 130 -- 6.3 Performance of Page's test 142 -- 6.4 Continuous-time case 144 -- 6.5 Asymptotic results 157 -- 6.6 Comments on the false-alarm constraint 171 -- 6.7 Discussion 172 -- 7 Additional topics 174 -- 7.1 Introduction 174 -- 7.2 Decentralized sequential and quickest detection 175 -- 7.3 Quickest detection with modeling uncertainty 194 -- 7.4 Quickest detection with dependent observations 201.
Summary This unified treatment of the quickest detection problem provides the background necessary to design, analyze, and understand quickest detection algorithms.
Other author Hadjiliadis, Olympia.
Subject Time-series analysis.
Change-point problems.
Optimal stopping (Mathematical statistics)
ISBN 9780521621045 (hbk.)
0521621046