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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Peskir, Goran (Autor), Shiryaev, Albert (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Basel : Birkhäuser Basel : Imprint: Birkhäuser, 2006.
Edición:1st ed. 2006.
Colección:Lectures in Mathematics. ETH Zürich
Temas:
Probabilities.
Mathematical optimization.
Calculus of variations.
Differential equations.
Social sciences-Mathematics.
Probability Theory.
Calculus of Variations and Optimization.
Differential Equations.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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