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portada Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. Eth Zürich)
Type
Physical Book
Publisher
Author
Year
2006
Language
English
Pages
502
Format
Hardcover
ISBN
3764324198
ISBN13
9783764324193
Edition No.
2006
Categories

Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. Eth Zürich)

Goran Peskir; Albert Shiryaev (Author) · Birkhäuser · Hardcover

Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. Eth Zürich) - Goran Peskir; Albert Shiryaev

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Synopsis "Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. Eth Zürich) "

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.

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