CoSy zoom seminar 16/02/2021
- Date: 16 February 2021, 12:15–13:00
- Location: Ångström Laboratory, Zoom: https://uu-se.zoom.us/j/64559454781
- Type: Seminar
- Lecturer: Erik Ekström
- Web page
- Contact person: Benjamin Meco
Title: A fraud detection problem
Abstract: We consider the detection of a so-called salami slicing
strategy, where a possible fraudster steals at a small rate in order to
avoid detection. Mathematically, this is formulated as a stochastic game
of control and stopping. In the talk we introduce (via examples) the
different ingredients needed
for its solution: game theory, stochastic filtering, stochastic control,
and stopping theory.