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