From disorder detection to optimal stopping and mathematical finance

Robert Liptser, Alexander G. Tartakovsky

Research output: Contribution to journalArticlepeer-review

Abstract

We begin with an overview of the quickest changepoint detection problem with an emphasis on Shiryaev's contributions to the field and show how the development in this area has led to optimal stopping theory. We then proceed to tackle application of optimal stopping and change detection in economics and finance, which has been a focus of Shiryaev's research for years.

Original languageEnglish
Pages (from-to)112-124
Number of pages13
JournalSequential Analysis
Volume29
Issue number2
DOIs
StatePublished - Apr 2010

Funding

FundersFunder number
National Science Foundation0830419, CCF-0830419
Army Research OfficeW911NF-06-1-0094
University of Southern California

    Keywords

    • Changepoint detection
    • Finance
    • Hypothesis testing
    • Optimal stopping
    • Sequential analysis

    Fingerprint

    Dive into the research topics of 'From disorder detection to optimal stopping and mathematical finance'. Together they form a unique fingerprint.

    Cite this