Lectures in Mathematics. ETH Zürich

Optimal Stopping and Free-Boundary Problems

Authors: Peskir, Goran, Shiryaev, Albert N.

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About this book

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 martingale and Mar- vian approaches; To select a seriesof concrete problems ofgeneral interest from the t- ory of probability, mathematical statistics, and mathematical ?nance that can be reformulated as problems of optimal stopping of stochastic processes and solved by reduction to free-boundary problems of real analysis (Stefan problems). The table of contents found below gives a clearer idea of the material included in the monograph. Credits and historical comments are given at the end of each chapter or section. The bibliography contains a material for further reading. Acknowledgements.TheauthorsthankL.E.Dubins,S.E.Graversen,J.L.Ped- sen and L. A. Shepp for useful discussions. The authors are grateful to T. B. To- zovafortheexcellenteditorialworkonthemonograph.Financialsupportandh- pitality from ETH, Zur ¨ ich (Switzerland), MaPhySto (Denmark), MIMS (Man- ester) and Thiele Centre (Aarhus) are gratefully acknowledged. The authors are also grateful to INTAS and RFBR for the support provided under their grants. The grant NSh-1758.2003.1 is gratefully acknowledged. Large portions of the text were presented in the “School and Symposium on Optimal Stopping with App- cations” that was held in Manchester, England from 17th to 27th January 2006.

Table of contents (3 chapters)

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-7643-7390-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $69.95
price for USA
  • ISBN 978-3-7643-2419-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Optimal Stopping and Free-Boundary Problems
Authors
Series Title
Lectures in Mathematics. ETH Zürich
Copyright
2006
Publisher
Birkhäuser Basel
Copyright Holder
Birkhäuser Basel
eBook ISBN
978-3-7643-7390-0
DOI
10.1007/978-3-7643-7390-0
Hardcover ISBN
978-3-7643-2419-3
Edition Number
1
Number of Pages
XXII, 502
Topics