Optimal Stopping and Free Boundary Problems
Goran Peskir
ISBN 10: 3764324198 ISBN 13: 9783764324193
Published by Birkhauser Verlag AG, 2006
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Disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems this comprehensive book covers classic methods of solution and more recent ones. Using minimal tools and key examples the book exposes optimal stopping problems at its basic principles. Series: Lectures in Mathematics. ETH Zurich. Num Pages: 502 pages, biography. BIC Classification: PB. Category: (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 236 x 163 x 42. Weight in Grams: 894. . 2006. 2006th Edition. Hardcover. . . . . Seller Inventory # V9783764324193
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The present monograph, based mainly on studies of the authors and their - authors, and also on lectures given by the authors in the past few years, has the following particular aims: To present basic results (with proofs) of optimal stopping theory in both discrete and continuous time using both martingale and Mar- vian approaches; To select a seriesof concrete problems ofgeneral interest from the t- ory of probability, mathematical statistics, and mathematical ?nance that can be reformulated as problems of optimal stopping of stochastic processes and solved by reduction to free-boundary problems of real analysis (Stefan problems). The table of contents found below gives a clearer idea of the material included in the monograph. Credits and historical comments are given at the end of each chapter or section. The bibliography contains a material for further reading. Acknowledgements.TheauthorsthankL.E.Dubins,S.E.Graversen,J.L.Ped- sen and L. A. Shepp for useful discussions. The authors are grateful to T. B. To- zovafortheexcellenteditorialworkonthemonograph.Financialsupportandh- pitality from ETH, Zur ¨ ich (Switzerland), MaPhySto (Denmark), MIMS (Man- ester) and Thiele Centre (Aarhus) are gratefully acknowledged. The authors are also grateful to INTAS and RFBR for the support provided under their grants. The grant NSh-1758.2003.1 is gratefully acknowledged. Large portions of the text were presented in the “School and Symposium on Optimal Stopping with App- cations” that was held in Manchester, England from 17th to 27th January 2006.
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Title: Optimal Stopping and Free Boundary Problems
Publisher: Birkhauser Verlag AG
Publication Date: 2006
Binding: Hardcover
Condition: New
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Optimal Stopping and Free Boundary Problems
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ISBN 10: 3764324198
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics. 500 pp. Englisch. Seller Inventory # 9783764324193
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Optimal Stopping and Free Boundary Problems
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics. Seller Inventory # 9783764324193
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Hardback. Condition: New. 2006 ed. The book aims at disclosing a fascinating connection between optimal stoppingproblems in probability and free-boundary problems in analysis using minimal toolsand focusing on key examples. The general theory of optimal stopping is exposed at thelevel of basic principles in both discrete and continuous time covering martingale andMarkovian methods. Methods of solution explained range from classic ones (such aschange of time, change of space, change of measure) to more recent ones (such as localtime-space calculus and nonlinear integral equations). A detailed chapter on stochasticprocesses is included making the material more accessible to a wider cross-disciplinaryaudience. The book may be viewed as an ideal compendium for an interested readerwho wishes to master stochastic calculus via fundamental examples.Areas of application where examples are worked out in full detail include financialmathematics (American, Russian, Asian options), financial engineering (optimalprediction of the ultimate maximum), mathematical statistics (sequential testing,quickest detection), and stochastic analysis (fundamental inequalities).Large portions of the text were not exposed in abook format before. The book also suggests anumber of new avenues for research. Seller Inventory # LU-9783764324193
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Optimal Stopping and Free-Boundary Problems
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ISBN 13: 9783764324193
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Hardback. Condition: New. 2006 ed. The book aims at disclosing a fascinating connection between optimal stoppingproblems in probability and free-boundary problems in analysis using minimal toolsand focusing on key examples. The general theory of optimal stopping is exposed at thelevel of basic principles in both discrete and continuous time covering martingale andMarkovian methods. Methods of solution explained range from classic ones (such aschange of time, change of space, change of measure) to more recent ones (such as localtime-space calculus and nonlinear integral equations). A detailed chapter on stochasticprocesses is included making the material more accessible to a wider cross-disciplinaryaudience. The book may be viewed as an ideal compendium for an interested readerwho wishes to master stochastic calculus via fundamental examples.Areas of application where examples are worked out in full detail include financialmathematics (American, Russian, Asian options), financial engineering (optimalprediction of the ultimate maximum), mathematical statistics (sequential testing,quickest detection), and stochastic analysis (fundamental inequalities).Large portions of the text were not exposed in abook format before. The book also suggests anumber of new avenues for research. Seller Inventory # LU-9783764324193
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