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Other titles in the Lectures in Mathematics Eth Zurich series:
Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics Eth Zurich)by Goran Peskir
Synopses & Reviews
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.
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.
Table of Contents
Preface.- Introduction.- 1. Optimal Stopping: General Facts.- 2. Stochastic Processes: A Brief Review.- 3. Optimal Stopping and Free Boundary Problems.- 4. Methods of Solution.- 5. Optimal Stopping in Stochastic Analysis.- 6. Optimal Stopping in Mathematical Statistics.- 7. Optimal Stopping in Mathematical Finance.- 8. Optimal Stopping in Financial Engineering.- Bibliography.
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