Optimal Stopping Free-Boundary Problems by Hardcover | Indigo Chapters
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Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. ETH Zürich (closed) (2006)
ISBN: 9783764324193 bzw. 3764324198, in Deutsch, Birkhäuser, gebundenes Buch, neu.
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Optimal Stopping and Free-Boundary Problems (2006)
ISBN: 9783764324193 bzw. 3764324198, vermutlich in Englisch, Springer Nature, gebundenes Buch, neu.
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. Hard cover.
Optimal Stopping and Free-Boundary Problems by Goran Peskir Hardcover | Indigo Chapters (2006)
ISBN: 9783764324193 bzw. 3764324198, vermutlich in Englisch, Birkenhäuser Verlag, Basel/Boston/Stuttgart, Schweiz, gebundenes Buch, neu.
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. | Optimal Stopping and Free-Boundary Problems by Goran Peskir Hardcover | Indigo Chapters.
Optimal Stopping and Free-Boundary Problems
ISBN: 9783764324193 bzw. 3764324198, in Deutsch, Birkhauser, gebundenes Buch, neu.
Hardcover. 500 pages. Dimensions: 9.1in. x 6.7in. x 1.3in.This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN.
Optimal Stopping and Free-Boundary Problems (2006)
ISBN: 9783764324193 bzw. 3764324198, in Deutsch, Springer Basel AG Aug 2006, neu.
Neuware - This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics. 502 pp. Englisch.
Optimal Stopping and Free-Boundary Problems
ISBN: 9783764324193 bzw. 3764324198, in Englisch, Birkenhäuser Verlag, Basel/Boston/Stuttgart, Schweiz, neu.
Optimal Stopping and Free-Boundary Problems
ISBN: 9783764324193 bzw. 3764324198, in Deutsch, Birkhauser Basel, Birkhauser Basel, Birkhauser Basel, gebraucht.
The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools and focusing on key examples. 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, change of space, change of measure) to more recent ones (such as 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 may be viewed as an ideal compendium for an 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.
Optimal Stopping and Free-Boundary Problems
ISBN: 9783764324193 bzw. 3764324198, in Deutsch, Birkhauser.
Optimal Stopping and Free-Boundary Problems Peskir, Goran / Shiryaev, Albert, The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools and focusing on key examples. 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, change of space, change of measure) to more recent ones (such as 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 may be viewed as an ideal compendium for an 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.