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Birkhäuser - Birkhäuser Applied Probability and Statistics | Optimal Stopping and Free-Boundary Problems

Optimal Stopping and Free-Boundary Problems

Peskir, Goran, Shiryaev, Albert

2006, XXII, 502 p.

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The book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis. It achieves this using minimal tools and by focusing on key examples, but its treatment of the subject is comprehensive ranging from pure theoretical aspects describing methods of solution to specific examples worked out in full detail.

The general theory of optimal stopping is exposed at the level of basic principles in both discrete and continuous time covering martingale and Markovian methods.

Methods of solution explained range from classic ones such as change of time, space, and measure, to more recent ones like local time-space calculus and nonlinear integral equations. A detailed chapter on stochastic processes is included making the material more accessible to a wider cross-disciplinary audience.

The book can be viewed as an ideal compendium for the interested reader who wishes to master stochastic calculus via fundamental examples.

Areas of application where examples are worked out in full detail include financial mathematics, financial engineering, mathematical statistics, and stochastic analysis.

Content Level » Research

Keywords » Analysis - Financial mathematics - Mathematical statistics - Measure - Stochastic Processes - Stochastic analysis - Stochastic process - stochastic calculus

Related subjects » Birkhäuser Applied Probability and Statistics - Birkhäuser Mathematics

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