Overview
- Presents an alternative approach to optimal stopping problems
- The Approach can be used to many problems in finance and economics
- Includes supplementary material: sn.pub/extras
Part of the book series: Studies in Economic Theory (ECON.THEORY, volume 27)
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Table of contents (14 chapters)
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Front Matter
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Discrete time — discrete space models. Finite time horizon
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Front Matter
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Discrete time — discrete space models. Infinite time horizon
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Front Matter
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Discrete time — continuous space models
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Front Matter
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Continuous time - continuous space models
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Front Matter
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Keywords
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)
Authors and Affiliations
Bibliographic Information
Book Title: Irreversible Decisions under Uncertainty
Book Subtitle: Optimal Stopping Made Easy
Authors: Svetlana Boyarchenko, Sergei Levendorskii
Series Title: Studies in Economic Theory
DOI: https://doi.org/10.1007/978-3-540-73746-9
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2007
Hardcover ISBN: 978-3-540-73745-2Published: 03 September 2007
Softcover ISBN: 978-3-642-09293-0Published: 30 November 2010
eBook ISBN: 978-3-540-73746-9Published: 26 August 2007
Series ISSN: 1431-8849
Series E-ISSN: 2196-9930
Edition Number: 1
Number of Pages: XVI, 285
Topics: Economic Theory/Quantitative Economics/Mathematical Methods, Finance, general, Game Theory, Economics, Social and Behav. Sciences