Optimal Stopping and Free-Boundary Problems
Title | Optimal Stopping and Free-Boundary Problems PDF eBook |
Author | Goran Peskir |
Publisher | Birkhäuser |
Pages | 500 |
Release | 2006-08-16 |
Genre | Business & Economics |
ISBN | 9783764324193 |
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.
Solving Free-boundary Problems with Applications in Finance
Title | Solving Free-boundary Problems with Applications in Finance PDF eBook |
Author | Kumar Muthuraman |
Publisher | Now Publishers Inc |
Pages | 94 |
Release | 2008 |
Genre | Boundary value problems |
ISBN | 1601981686 |
Outlines and explains a recent computational method that solves free boundary problems by reducing them into a sequence of fixed boundary problems which are relatively easy to solve numerically.
Optimal Stopping and Free-Boundary Problems
Title | Optimal Stopping and Free-Boundary Problems PDF eBook |
Author | Goran Peskir |
Publisher | Springer Science & Business Media |
Pages | 515 |
Release | 2006-11-10 |
Genre | Mathematics |
ISBN | 3764373903 |
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.
Optimal Stopping and Free Boundary Problems
Title | Optimal Stopping and Free Boundary Problems PDF eBook |
Author | Pierre Lucien Jules Van Moerbeke |
Publisher | |
Pages | 216 |
Release | 1973 |
Genre | |
ISBN |
Principles of Optimal Stopping and Free-boundary Problems
Title | Principles of Optimal Stopping and Free-boundary Problems PDF eBook |
Author | Goran Peskir |
Publisher | |
Pages | 108 |
Release | 2001 |
Genre | Boundary value problems |
ISBN |
Principles of Optimal Stopping and Free-boundary Problems
Title | Principles of Optimal Stopping and Free-boundary Problems PDF eBook |
Author | Goran Peskir |
Publisher | |
Pages | 500 |
Release | 2006 |
Genre | |
ISBN |
Lecture Notes Series
Title | Lecture Notes Series PDF eBook |
Author | |
Publisher | |
Pages | |
Release | 2001 |
Genre | |
ISBN |