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ВИДЕОТЕКА |
Международная конференция «Stochastic Optimization and Optimal Stopping»
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Пленарные доклады
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From sequential analysis to optimal stopping — revisited Hans Rudolf Lerche Universität Freiburg, Germany |
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Аннотация: The solution of the problem of optimality of Wald's sequential probability ratio test was the starting point of the theory of optimal stopping. We describe a connection between sequential testing, sequential change-point detection and optimal stopping, emphazising a structure of Bayes risks, which allows to find optimal stopping times in a simple way. We show that these facts lead also to a new approach to treat many optimal stopping problems. Язык доклада: английский |