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
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.