Optimal Stopping and Free-Boundary Problems
In stock
Optimal Stopping and Free-Boundary Problems
$25.00
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.
Book Details
- Authors: Goran Peskir, Albert Shiryaev
- Publisher: Birkhäuser
- eBook ISBN: 9783764373900, 3764373903
- Print ISBN: 9783764324193, 3764324198
Product Details
You May Also Like
View all →
Advances in Computer Science and Information Technology: First International Conference on Computer Science and Information Technology, CCSIT 2011, Bangalore, India, January 2-4, 2011. Proceedings, Part I
Designing Democracy Re-education and the America Houses (19451961)- The American Information Centers and their Involvement in Democratic: Re-education in Western Germany and West Berlin from 1945 to 1961
Advances in Neuroergonomics and Cognitive Engineering: Proceedings of the AHFE 2016 International Conference on Neuroergonomics and Cognitive Engineering, July 27-31, 2016, Walt Disney World®, Florida, USA
