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Optimal Stopping and Free Boundary Problems
Goran Peskir
€ 187.96
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Description for Optimal Stopping and Free Boundary Problems
Hardcover. 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. Series: Lectures in Mathematics. ETH Zurich. Num Pages: 502 pages, biography. BIC Classification: PB. Category: (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 236 x 163 x 42. Weight in Grams: 894.
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 ... Read more
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 ... Read more
Product Details
Publisher
Birkhauser Verlag AG Switzerland
Number of pages
528
Format
Hardback
Publication date
2006
Series
Lectures in Mathematics. ETH Zurich
Condition
New
Weight
893g
Number of Pages
502
Place of Publication
Basel, Switzerland
ISBN
9783764324193
SKU
V9783764324193
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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