Optimal Stopping and Free-Boundary Problems

2006 ed.

by Albert Shiryaev , Goran Peskir

Book Details

Format Hardback or Cased Book

Book Series Lectures in Mathematics. ETH Zurich

ISBN-10 3764324198

ISBN-13 9783764324193

Edition 2006 ed.

Publisher Birkhauser Verlag AG

Imprint Birkhauser Verlag AG

Country of Manufacture GB

Country of Publication GB

Publication Date Aug 16th, 2006

Print length 502 Pages

Weight 958 grams

Dimensions 23.60 x 16.30 x 4.20 cms

Product Classification: Mathematics

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Ksh 21,600.00

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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.

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.

Get Optimal Stopping and Free-Boundary Problems by at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Birkhauser Verlag AG and it has pages.