Optimal Stopping and Free-Boundary Problems

Optimal Stopping and Free-Boundary Problems

The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools and focusing on key examples. The general theory of optimal stopping is exposed at the level of basic principles in both discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from classic ones (such as change of time, change of space, change of measure) to more recent ones (such as local time-space calculus and nonlinear integral equations). A detailed chapter on stochastic processes is included making the material more accessible to a wider cross-disciplinary audience. The book may be viewed as an ideal compendium for an interested reader who wishes to master stochastic calculus via fundamental examples. Areas of application where examples are worked out in full detail include financial mathematics, financial engineering, mathematical statistics, and stochastic analysis.


Author
Publisher Birkhäuser
Release Date
ISBN 9783764324193
Pages 500 pages
Optimal Stopping and Free-Boundary Problems
Language: en
Pages: 500
Authors: Goran Peskir
Categories: Business & Economics
Type: BOOK - Published: 2006-08-16 - Publisher: Birkhäuser

The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools
Optimal Stopping and Free-Boundary Problems
Language: en
Pages: 502
Authors: Goran Peskir
Categories: Mathematics
Type: BOOK - Published: 2006-11-10 - Publisher: Springer Science & Business Media

This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the the
Principles of Optimal Stopping and Free-boundary Problems
Language: en
Pages: 95
Authors: Goran Peskir
Categories: Boundary value problems
Type: BOOK - Published: 2001 - Publisher:

Principles of Optimal Stopping and Free-boundary Problems
Language: en
Pages: 500
Authors: Goran Peskir
Categories:
Type: BOOK - Published: 2006 - Publisher:

Free Boundary Problems
Language: en
Pages: 462
Authors: Isabel Narra Figueiredo
Categories: Mathematics
Type: BOOK - Published: 2007-01-11 - Publisher: Springer Science & Business Media

This book collects refereed lectures and communications presented at the Free Boundary Problems Conference (FBP2005). These discuss the mathematics of a broad c
Optimal Stopping and Free Boundary Problems
Language: en
Pages: 216
Authors: Pierre Lucien Jules Van Moerbeke
Categories:
Type: BOOK - Published: 1973 - Publisher:

Free Boundary Problems in PDEs and Particle Systems
Language: en
Pages: 110
Authors: Gioia Carinci
Categories: Mathematics
Type: BOOK - Published: 2016-06-22 - Publisher: Springer

In this volume a theory for models of transport in the presence of a free boundary is developed.Macroscopic laws of transport are described by PDE's. When the s
Lecture Notes Series
Language: en
Pages:
Authors:
Categories:
Type: BOOK - Published: 2001 - Publisher:

Boundary Value Problems for Linear Evolution Partial Differential Equations
Language: en
Pages: 473
Authors: H.G. Garnir
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

Most of the problems posed by Physics to Mathematical Analysis are boundary value problems for partial differential equations and systems. Among them, the probl
Solving Free-boundary Problems with Applications in Finance
Language: en
Pages: 82
Authors: Kumar Muthuraman
Categories: Business & Economics
Type: BOOK - Published: 2008 - Publisher: Now Publishers Inc

Outlines and explains a recent computational method that solves free boundary problems by reducing them into a sequence of fixed boundary problems which are rel