Optimal Stopping and Free-Boundary Problems

Optimal Stopping and Free-Boundary Problems

Albert Shiryaev / Goran Peskir

192,93 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2006
ISBN:
9783764324193
192,93 €
IVA incluido
Disponible

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Sobre IBD

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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