Optimal Stopping and Free Boundary Problems
(Sprache: Englisch)
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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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.
Klappentext zu „Optimal Stopping and Free Boundary Problems “
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.Inhaltsverzeichnis zu „Optimal Stopping and Free Boundary Problems “
- 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
Bibliographische Angaben
- Autor: Albert N. Shiryaev
- 2006, 500 Seiten, Maße: 17,2 x 23,8 cm, Kartoniert (TB), Englisch
- Verlag: Springer
- ISBN-10: 3764324198
- ISBN-13: 9783764324193
- Erscheinungsdatum: 16.08.2006
Sprache:
Englisch
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