Optimal Stopping and Free-Boundary Problems

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 mar...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Peskir, Goran (Συγγραφέας), Shiryaev, Albert (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Basel : Birkhäuser Basel, 2006.
Σειρά:Lectures in Mathematics. ETH Zürich
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
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100 1 |a Peskir, Goran.  |e author. 
245 1 0 |a Optimal Stopping and Free-Boundary Problems  |h [electronic resource] /  |c by Goran Peskir, Albert Shiryaev. 
264 1 |a Basel :  |b Birkhäuser Basel,  |c 2006. 
300 |a XXII, 502 p.  |b online resource. 
336 |a text  |b txt  |2 rdacontent 
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490 1 |a Lectures in Mathematics. ETH Zürich 
505 0 |a 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. 
520 |a 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. 
650 0 |a Mathematics. 
650 0 |a Partial differential equations. 
650 0 |a Economics, Mathematical. 
650 0 |a Calculus of variations. 
650 0 |a Probabilities. 
650 1 4 |a Mathematics. 
650 2 4 |a Probability Theory and Stochastic Processes. 
650 2 4 |a Calculus of Variations and Optimal Control; Optimization. 
650 2 4 |a Partial Differential Equations. 
650 2 4 |a Quantitative Finance. 
700 1 |a Shiryaev, Albert.  |e author. 
710 2 |a SpringerLink (Online service) 
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776 0 8 |i Printed edition:  |z 9783764324193 
830 0 |a Lectures in Mathematics. ETH Zürich 
856 4 0 |u http://dx.doi.org/10.1007/978-3-7643-7390-0  |z Full Text via HEAL-Link 
912 |a ZDB-2-SMA 
950 |a Mathematics and Statistics (Springer-11649)