Optimal Stopping and Free-Boundary Problems

• Main Authors: Peskir, Goran (Author), Shiryaev, Albert (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Basel : Birkhäuser Basel, 2006.
• Series: Lectures in Mathematics. ETH Zürich
• Subjects: Mathematics.; Partial differential equations.; Economics, Mathematical.; Calculus of variations.; Probabilities.; Probability Theory and Stochastic Processes.; Calculus of Variations and Optimal Control; Optimization.; Partial Differential Equations.; Quantitative Finance.

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...

Table of Contents:

• 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.