From Disorder Detection to Optimal Stopping and Mathematical Finance

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.

Keywords:

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

Subject Classifications:

• 62L15
• 60G40
• 62F12
• 62F15

ACKNOWLEDGMENTS

The work of Alexander Tartakovsky was supported in part by the U.S. Army Research Office MURI grant W911NF-06-1-0094 and by the U.S. National Science Foundation grant CCF-0830419 at the University of Southern California.

Notes

Recommended by Nitis Mukhopadhyay