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...
Κύριοι συγγραφείς: | , |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Basel :
Birkhäuser Basel,
2006.
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Σειρά: | Lectures in Mathematics. ETH Zürich
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.