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Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. ETH Zürich) [Hardcover]

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Item description for Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. ETH Zürich) by Goran Peskir & Albert Shiryaev...

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.





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Item Specifications...


Pages   500
Est. Packaging Dimensions:   Length: 1.5" Width: 6.75" Height: 9.5"
Weight:   2.36 lbs.
Binding  Hardcover
Release Date   Sep 25, 2006
Publisher   Birkhäuser Basel
ISBN  3764324198  
ISBN13  9783764324193  


Availability  123 units.
Availability accurate as of Jan 16, 2017 07:45.
Usually ships within one to two business days from La Vergne, TN.
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Product Categories

1Books > Special Features > New & Used Textbooks > Sciences > Mathematics > Statistics
2Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Differential Equations
3Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Linear Programming
4Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Statistics
5Books > Subjects > Science > General
6Books > Subjects > Science > Mathematics > Applied > Differential Equations
7Books > Subjects > Science > Mathematics > Applied > Linear Programming
8Books > Subjects > Science > Mathematics > Applied > Probability & Statistics
9Books > Subjects > Science > Mathematics > General



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