Optimal Stopping and Free-Boundary Problems
Seiten
2006
|
2006
Springer Basel (Verlag)
978-3-7643-2419-3 (ISBN)
Springer Basel (Verlag)
978-3-7643-2419-3 (ISBN)
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 of contents found below gives a clearer idea of the material included in the monograph. Credits and historical comments are given at the end of each chapter or section. The bibliography contains a material for further reading. Acknowledgements.TheauthorsthankL.E.Dubins,S.E.Graversen,J.L.Ped- sen and L. A. Shepp for useful discussions. The authors are grateful to T. B. To- zovafortheexcellenteditorialworkonthemonograph.Financialsupportandh- pitality from ETH, Zur ¨ ich (Switzerland), MaPhySto (Denmark), MIMS (Man- ester) and Thiele Centre (Aarhus) are gratefully acknowledged. The authors are also grateful to INTAS and RFBR for the support provided under their grants. The grant NSh-1758.2003.1 is gratefully acknowledged. Large portions of the text were presented in the “School and Symposium on Optimal Stopping with App- cations” that was held in Manchester, England from 17th to 27th January 2006.
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.
| Erscheint lt. Verlag | 16.8.2006 |
|---|---|
| Reihe/Serie | Lectures in Mathematics. ETH Zürich |
| Zusatzinfo | XXII, 502 p. |
| Verlagsort | Basel |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 884 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| Schlagworte | Analysis • Financial Mathematics • Hardcover, Softcover / Mathematik/Analysis • HC/Mathematik/Analysis • HC/Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik • Mathematical Statistics • measure • Partial differential equations • Quantitative Finance • Randwertproblem • stochastic analysis • Stochastic Calculus • Stochastic process • Stochastic Processes |
| ISBN-10 | 3-7643-2419-8 / 3764324198 |
| ISBN-13 | 978-3-7643-2419-3 / 9783764324193 |
| Zustand | Neuware |
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