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Quickest Detection

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ISBN-10: 0521621046

ISBN-13: 9780521621045

Edition: 2008

Authors: Vincent Poor, H. Vincent Poor, Olympia Hadjiliadis

List price: $105.99
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This unified treatment of the quickest detection problem provides the background necessary to design, analyse, and understand quickest detection algorithms.
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Book details

List price: $105.99
Copyright year: 2008
Publisher: Cambridge University Press
Publication date: 11/20/2008
Binding: Hardcover
Pages: 244
Size: 7.00" wide x 9.75" long x 0.50" tall
Weight: 1.386
Language: English

Olympia Hadjiliadis is an Assistant Professor in the Department of Mathematics at Brooklyn College, City University of New York. She was awarded her M.Math in Statistics and Finance in 1999 from the University of Waterloo, Canada. After receiving her Ph.D. in Statistics with distinction from Columbia University in 2005, Dr. Hadjiladis joined the Electrical Engineering Department at Princeton as a Postdoctoral Fellow, where she is also currently appointed as a Research Collaborator.

List of figures
Preface
Frequently used notation
Introduction
Probabilistic framework
Introduction
Basic setting
Probability spaces
Random variables
Expectation
Radon-Nikodym derivatives
Conditional expectation and independence
Random sequences
Martingales and stopping times
Martingales
Stopping times
Continuous-time analogs
Brownian motion and Poisson processes
Brownian motion
Poisson processes
Continuous-time semimartingales
Stochastic integration
Markov optimal stopping theory
Introduction
Markov optimal stopping problems
The finite-horizon case: dynamic programming
The general case
The Markov case
The infinite-horizon case
A martingale interpretation of the finite-horizon results
The infinite-horizon case for bounded reward
The general infinite-horizon case
The infinite-horizon case with Markov rewards
Markov optimal stopping in continuous time
Appendix: a proof of Lemma 3.8
Sequential detection
Introduction
Optimal detection
Performance analysis
The continuous-time case
The Brownian case
The Brownian case - an alternative proof
An interesting extension of Wald-Wolfowitz
The case of It� processes
The Poisson case
The compound Poisson case
Discussion
Bayesian quickest detection
Introduction
Shiryaev's problem
The continuous-time case
Brownian observations
Poisson observations
A probability maximizing approach
Other penalty functions
A game theoretic formulation
Discussion
Non-Bayesian quickest detection
Introduction
Lorden's problem
Performance of Page's test
The continuous-time case
Brownian observations
It&ocaron; processes
Brownian motion with an unknown drift parameter
Poisson observations
Asymptotic results
Lorden's approach
Brownian motion with two-sided alternatives
Comments on the false-alarm constraint
Discussion
Additional topics
Introduction
Decentralized sequential and quickest detection
Decentralized sequential detection with a fusion center
Decentralized quickest detection with a fusion center
Decentralized sequential detection without fusion
Quickest detection with modeling uncertainty
Robust quickest detection
Adaptive quickest detection
Quickest detection with dependent observations
Quickest detection with independent likelihood ratio sequences
Locally asymptotically normal distributions
Sequential detection (local hypothesis approach)
Quickest detection (local hypothesis approach)
Bibliography
Index