OPTIMAL STOPPING AND FREE BOUNDARY PROBLEMS by Goran Peskir, Albert N. Shiryaev ( 9783764324193 )

Item Details

Title:

OPTIMAL STOPPING AND FREE BOUNDARY PROBLEMS

By:

Goran Peskir, Albert N. Shiryaev

Format:

Hardback

List price:

£119.99

Our price:

£101.99

Discount:

15% off

You save:

£18.00

ISBN 10:

3764324198

ISBN 13:

9783764324193

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Publisher:

BIRKHAUSER VERLAG AG

Pub. date:

16 August, 2006

Series:

Lectures in Mathematics. ETH Zurich

Pages:

502

Description:

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.

Synopsis:

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.

Illustrations:

biography

Publication:

Switzerland

Imprint:

Birkhauser Verlag AG

Returns:

Returnable

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