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03702nam a22005415i 4500 |
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|a 9783764373900
|9 978-3-7643-7390-0
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|a 10.1007/978-3-7643-7390-0
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|a QA273.A1-274.9
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|a QA274-274.9
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|a MAT029000
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|a 519.2
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|a Peskir, Goran.
|e author.
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|a Optimal Stopping and Free-Boundary Problems
|h [electronic resource] /
|c by Goran Peskir, Albert Shiryaev.
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|a Basel :
|b Birkhäuser Basel,
|c 2006.
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|a XXII, 502 p.
|b online resource.
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|a text
|b txt
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|a Lectures in Mathematics. ETH Zürich
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|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.
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|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.
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|a Mathematics.
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|a Partial differential equations.
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|a Economics, Mathematical.
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|a Calculus of variations.
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|a Probabilities.
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|a Mathematics.
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|a Probability Theory and Stochastic Processes.
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|a Calculus of Variations and Optimal Control; Optimization.
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|a Partial Differential Equations.
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|a Quantitative Finance.
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|a Shiryaev, Albert.
|e author.
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9783764324193
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|a Lectures in Mathematics. ETH Zürich
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|u http://dx.doi.org/10.1007/978-3-7643-7390-0
|z Full Text via HEAL-Link
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|a ZDB-2-SMA
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|a Mathematics and Statistics (Springer-11649)
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