Optimal Stopping and Free-Boundary Problems

Optimal Stopping and Free-Boundary Problems
Author :
Publisher : Springer Science & Business Media
Total Pages : 515
Release :
ISBN-10 : 9783764373900
ISBN-13 : 3764373903
Rating : 4/5 (903 Downloads)

Book Synopsis Optimal Stopping and Free-Boundary Problems by : Goran Peskir

Download or read book Optimal Stopping and Free-Boundary Problems written by Goran Peskir and published by Springer Science & Business Media. This book was released on 2006-11-10 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


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