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

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Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics Eth Zurich) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

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.

Product Details

ISBN:
9783764324193
Author:
Peskir, Goran
Publisher:
Birkhauser
Author:
Shiryaev, Albert
Subject:
Finance
Subject:
Linear Programming
Subject:
Differential Equations
Subject:
Mathematics-Computer
Subject:
Calculus
Subject:
financial mathematics
Subject:
Mathematical statistics
Subject:
Stochastic analysis
Subject:
Stochastic Process
Subject:
stochastic calculus
Subject:
Calculus of Variations and Optimal Control; Optimization
Subject:
Probability Theory and Stochastic Processes
Subject:
PARTIAL DIFFERENTIAL EQUATIONS
Subject:
Quantitative Finance
Copyright:
Edition Number:
1
Edition Description:
Book
Series:
Lectures in Mathematics. ETH Zürich (closed)
Publication Date:
September 2006
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
522
Dimensions:
240 x 170 mm 2010 gr

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Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics Eth Zurich) New Hardcover
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Product details 522 pages Birkhauser - English 9783764324193 Reviews:
"Synopsis" by , 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.
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