Optimal Stopping and Free-Boundary Problems / Edition 1

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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.

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Product Details

  • ISBN-13: 9783764324193
  • Publisher: Birkhauser Basel
  • Publication date: 8/16/2006
  • Series: Lectures in Mathematics. ETH Zurich (closed) Series
  • Edition description: 2006
  • Edition number: 1
  • Pages: 502
  • Sales rank: 1,157,971
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.13 (d)

Table of Contents

Optimal stopping: General facts.- Shastic processes: A brief review.- Optimal stopping and free-boundary problems.- Methods of solution.- Optimal stopping in shastic analysis.- Optimal stopping in mathematical statistics.- Optimal stopping in mathematical finance.- Optimal stopping in financial engineering.

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