Optimal Stopping and Free-Boundary Problems

Optimal Stopping and Free-Boundary Problems
Author :
Publisher : Birkhäuser
Total Pages : 500
Release :
ISBN-10 : 3764324198
ISBN-13 : 9783764324193
Rating : 4/5 (193 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 Birkhäuser. This book was released on 2006-08-16 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


Optimal Stopping and Free-Boundary Problems Related Books

Optimal Stopping and Free-Boundary Problems
Language: en
Pages: 515
Authors: Goran Peskir
Categories: Mathematics
Type: BOOK - Published: 2006-11-10 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the the
Optimal Stopping and Free-Boundary Problems
Language: en
Pages: 500
Authors: Goran Peskir
Categories: Business & Economics
Type: BOOK - Published: 2006-08-16 - Publisher: Birkhäuser

DOWNLOAD EBOOK

The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools
Solving Free-boundary Problems with Applications in Finance
Language: en
Pages: 94
Authors: Kumar Muthuraman
Categories: Boundary value problems
Type: BOOK - Published: 2008 - Publisher: Now Publishers Inc

DOWNLOAD EBOOK

Outlines and explains a recent computational method that solves free boundary problems by reducing them into a sequence of fixed boundary problems which are rel
Free Boundary Problems
Language: en
Pages: 462
Authors: Isabel Narra Figueiredo
Categories: Mathematics
Type: BOOK - Published: 2007-01-11 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This book collects refereed lectures and communications presented at the Free Boundary Problems Conference (FBP2005). These discuss the mathematics of a broad c
Free Boundary Problems, Theory and Applications
Language: en
Pages: 462
Authors: Marek Niezgodka
Categories: Mathematics
Type: BOOK - Published: 1996-11-25 - Publisher: CRC Press

DOWNLOAD EBOOK

Addressing various aspects of nonlinear partial differential equations, this volume contains papers and lectures presented at the Congress on Free boundary Prob