This updated third edition of Shiryaev's work on probability contains a systematic treatment from the ground up, starting with intuitive ideas, then developing more sophisticated subjects. Examples are discussed in detail, and there are a large number of exercises.
This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data.
This third edition contains new problems and exercises, new proofs, expanded material on financial mathematics, financial engineering, and mathematical statistics, and a final chapter on the history of probability theory.
In addition to the thorough presentation of probability, a historical exposition is presented that documents how the mathematical theory of probability has developed. The two volumes that... Læs mere