Quickest Detection Problems in the Technical Analysis of the Financial Data

  • Albert N. Shiryaev
Part of the Springer Finance book series (FINANCE)


Suppose that we are observing a random process X = (X t ) on an interval [0,T]. The objects θ and τ introduced below are essential throughout the paper:
  • θ — a parameter or a random variable; this is the time at which the observed process X = (X t ) t≥0 changes its character of behaviour its probability characteristics;

  • τ — a stopping (Markov) time which serbes as the of “alarm”; it warns of the coming of the time θ.


Markov Property Discrete Time Analog Time Random Process Bang Bang Arbitrage Possibility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Albert N. Shiryaev
    • 1
  1. 1.Steklov Mathematical InstituteMoscowRussia

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