Multiple Stopping Problems : Unilateral and Multilateral Approaches

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Multiple Stopping Problems : Unilateral and Multilateral Approaches

Sofronov, Georgy/ Szajowski, Krzysztof

ウェブストア価格 ¥20,838（本体¥18,944）
Chapman & Hall/CRC（2024/12発売）
外貨定価 US$ 100.00
ポイント 189pt

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製本 Hardcover:ハードカバー版／ページ数 354 p.
言語 ENG
商品コード 9781032525433
DDC分類 519.54

Full Description

This book presents the theory of rational decisions involving the selection of stopping times in observed discrete-time stochastic processes, both by single and multiple decision-makers. Readers will become acquainted with the models, strategies, and applications of these models.

It begins with an examination of selected models framed as stochastic optimization challenges, emphasizing the critical role of optimal stopping times in sequential statistical procedures. The authors go on to explore models featuring multiple stopping and shares on leading applications, particularly focusing on change point detection, selection problems, and the nuances of behavioral ecology. In the following chapters, an array of perspectives on model strategies is presented, elucidating their interpretation and the methodologies underpinning their genesis. Essential notations and definitions are introduced, examining general theorems about solution existence and structure, with an intricate analysis of optimal stopping predicaments and addressing crucial multilateral models. The reader is presented with the practical application of models based on multiple stopping within stochastic processes. The coverage includes a diverse array of domains, including sequential statistics, finance, economics, and the broader generalization of the best-choice problem. Additionally, it delves into numerical and asymptotic solutions, offering a comprehensive exploration of optimal stopping quandaries.

The book will be of interest to researchers and practitioners in fields such as economics, finance, and engineering. It could also be used by graduate students doing a research degree in insurance, economics or business analytics or an advanced undergraduate course in mathematical sciences.

Part 1: Preface on Multiple Stopping Models 1. Motivation for the Multiple Stopping and Selected Application Part 2: Multiple stopping and stopping games 2. Multiple optimal stopping rules 3. Multilateral multiple stopping: game theory approach Part 3: Applications of multiple stopping models 4. Sequential methods of statistics 5. Financial applications 6. The best choice problems 7. Numerical and asymptotic solutions for optimal stopping problems Part 4: Auxiliary & supplementary material