ENGLISH

Optimal stopping and free-boundary problems

By Goran Peskir , Albert Shiryaev

Book information

Publisher
Birkhauser Verlag
Year
2006
ISBN
3764324198, 3764373903, 9783764324193
Open Library ID
OL9090006M
Language
english
Format
PDF
Filesize
9 MB (9927747 bytes)
Series
Lectures in mathematics ETH Zurich
Edition
1
Pages
515\515
Time added
2010-02-18 13:16:04

Description

The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools and focusing on key examples. The general theory of optimal stopping is exposed at the level of basic principles in both discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from classic ones (such as change of time, change of space, change of measure) to more recent ones (such as local time-space calculus and nonlinear integral equations). A detailed chapter on stochastic processes is included making the material more accessible to a wider cross-disciplinary audience. The book may be viewed as an ideal compendium for an interested reader who wishes to master stochastic calculus via fundamental examples. Areas of application where examples are worked out in full detail include financial mathematics, financial engineering, mathematical statistics, and stochastic analysis.

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