Studies in Economic Theory

Irreversible Decisions under Uncertainty

Optimal Stopping Made Easy

Authors: Boyarchenko, Svetlana, Levendorskii, Sergei

  • A break from tradition sees the authors presenting an alternative approach to optimal stopping problems
  • The approach delineated here can be used to solve many problems in finance and economics
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eBook $159.00
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  • ISBN 978-3-540-73746-9
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Hardcover $209.00
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  • ISBN 978-3-540-73745-2
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Softcover $209.00
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  • ISBN 978-3-642-09293-0
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About this book

In real life, as well as in economic models, individuals often make decisions in an uncertain environment. In many cases, a problem which an optimizing agent faces can be formulated or reformulated as a problem of optimal timing of a certain irreversible or partially reversible action or optimal stopping problem. In this book, the authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.

Reviews

From the reviews:

"In this book an alternative approach to optimal stopping problems is presented. Its basic ideas and techniques are demonstrated on a much simpler level … . Necessary notations and results of the theory of stochastic processes are introduced in a piece meal basis when they are needed. Certainly, the reading of the book is easier for readers … . The first three parts of the book can be used as an introductory course, and the rest of the book for an advanced course." (Klaus Ehemann, Zentralblatt MATH, Vol. 1131 (9), 2008)


Table of contents (14 chapters)

Buy this book

eBook $159.00
price for USA (gross)
  • ISBN 978-3-540-73746-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $209.00
price for USA
  • ISBN 978-3-540-73745-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $209.00
price for USA
  • ISBN 978-3-642-09293-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Irreversible Decisions under Uncertainty
Book Subtitle
Optimal Stopping Made Easy
Authors
Series Title
Studies in Economic Theory
Series Volume
27
Copyright
2007
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-73746-9
DOI
10.1007/978-3-540-73746-9
Hardcover ISBN
978-3-540-73745-2
Softcover ISBN
978-3-642-09293-0
Series ISSN
1431-8849
Edition Number
1
Number of Pages
XVI, 285
Topics