Goran Peskir,
Albert Shiryaev
Optimal Stopping and Free-Boundary Problems
Gebonden Engels 2006 2006e druk 9783764324193Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9783764324193
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:502
Uitgever:Birkhäuser Basel
Druk:2006
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Inhoudsopgave
Optimal stopping: General facts.- Stochastic processes: A brief review.- Optimal stopping and free-boundary problems.- Methods of solution.- Optimal stopping in stochastic analysis.- Optimal stopping in mathematical statistics.- Optimal stopping in mathematical finance.- Optimal stopping in financial engineering.
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