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Optimal Stopping and Free-Boundary Problems
The present monograph, based mainly on studies of the authors and their - authors, and also on lectures given by the authors in the past few years, has the following particular aims: To present basic results (with proofs) of optimal stopping theory in both discrete and continuous time using both mar...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Basel :
Birkhäuser Basel : Imprint: Birkhäuser,
2006.
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| Edición: | 1st ed. 2006. |
| Colección: | Lectures in Mathematics. ETH Zürich
|
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 001 | 978-3-7643-7390-0 | ||
| 003 | DE-He213 | ||
| 005 | 20220119231335.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 100301s2006 sz | s |||| 0|eng d | ||
| 020 | |a 9783764373900 |9 978-3-7643-7390-0 | ||
| 024 | 7 | |a 10.1007/978-3-7643-7390-0 |2 doi | |
| 050 | 4 | |a QA273.A1-274.9 | |
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| 100 | 1 | |a Peskir, Goran. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Optimal Stopping and Free-Boundary Problems |h [electronic resource] / |c by Goran Peskir, Albert Shiryaev. |
| 250 | |a 1st ed. 2006. | ||
| 264 | 1 | |a Basel : |b Birkhäuser Basel : |b Imprint: Birkhäuser, |c 2006. | |
| 300 | |a XXII, 502 p. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Lectures in Mathematics. ETH Zürich | |
| 505 | 0 | |a Optimal stopping: General facts -- Stochastic processes: A brief review -- Optimal stopping and free-boundary problems -- Methods of solution -- Optimal stopping in stochastic analysis -- Optimal stopping in mathematical statistics -- Optimal stopping in mathematical finance -- Optimal stopping in financial engineering. | |
| 520 | |a The present monograph, based mainly on studies of the authors and their - authors, and also on lectures given by the authors in the past few years, has the following particular aims: To present basic results (with proofs) of optimal stopping theory in both discrete and continuous time using both martingale and Mar- vian approaches; To select a seriesof concrete problems ofgeneral interest from the t- ory of probability, mathematical statistics, and mathematical ?nance that can be reformulated as problems of optimal stopping of stochastic processes and solved by reduction to free-boundary problems of real analysis (Stefan problems). The table of contents found below gives a clearer idea of the material included in the monograph. Credits and historical comments are given at the end of each chapter or section. The bibliography contains a material for further reading. Acknowledgements.TheauthorsthankL.E.Dubins,S.E.Graversen,J.L.Ped- sen and L. A. Shepp for useful discussions. The authors are grateful to T. B. To- zovafortheexcellenteditorialworkonthemonograph.Financialsupportandh- pitality from ETH, Zur ¨ ich (Switzerland), MaPhySto (Denmark), MIMS (Man- ester) and Thiele Centre (Aarhus) are gratefully acknowledged. The authors are also grateful to INTAS and RFBR for the support provided under their grants. The grant NSh-1758.2003.1 is gratefully acknowledged. Large portions of the text were presented in the "School and Symposium on Optimal Stopping with App- cations" that was held in Manchester, England from 17th to 27th January 2006. | ||
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Mathematical optimization. | |
| 650 | 0 | |a Calculus of variations. | |
| 650 | 0 | |a Differential equations. | |
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 1 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Calculus of Variations and Optimization. |
| 650 | 2 | 4 | |a Differential Equations. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 700 | 1 | |a Shiryaev, Albert. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783764390068 |
| 776 | 0 | 8 | |i Printed edition: |z 9783764324193 |
| 830 | 0 | |a Lectures in Mathematics. ETH Zürich | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-7643-7390-0 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||