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  • Book
  • © 2006

Optimal Stopping and Free-Boundary Problems

Birkhäuser

Authors:

  1. Goran Peskir

    1. School of Mathematics, The University of Manchester, Manchester, UK

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  2. Albert Shiryaev

    1. Steklov Mathematical Institute, Moscow, Russia
      GSP-2 Leninskie Gory, Moscow State University, Moscow, Russia

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  • A comprehensive treatment of optimal stopping and free-boundary problems ranging from pure theoretical aspects describing methods of solution to specific examples worked out in full detail
  • Marries the three classic problem formulations due to Lagrange (18th century), Mayer (19th century) and Bolza (1913) with the modern problem formulation based on the maximum functional to produce a unifying theory
  • Deals with the principles of smooth and continuous fit in a unifying way
  • Presents complete solutions to option problems (American, Russian, Asian) using local time-space calculus and nonlinear integral equations
  • Presents solutions to problems of optimal prediction of the ultimate maximum opening new avenues for research
  • Includes supplementary material: sn.pub/extras

Part of the book series: Lectures in Mathematics. ETH Zürich (LM)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xxii
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  5. Methods of solution

    Pages 143-241

  10. Back Matter

    Pages 477-500
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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.
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Keywords

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Authors and Affiliations

  • School of Mathematics, The University of Manchester, Manchester, UK

    Goran Peskir

  • Steklov Mathematical Institute, Moscow, Russia

    Albert Shiryaev

  • GSP-2 Leninskie Gory, Moscow State University, Moscow, Russia

    Albert Shiryaev

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eBook USD 119.00
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  • Available as PDF
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  • Instant download
  • Own it forever
Hardcover Book USD 159.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

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