Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Optimal Stopping and Free-Boundary Problems

Optimal Stopping and Free-Boundary Problems

Shiryaev, Albert
Peskir, Goran
Peskir, Goran

Hardcover

Series: Lectures in Mathematics. Eth Zürich

General MathematicsProbability & Statistics

ISBN10: 3764324198
ISBN13: 9783764324193
Publisher: Birkhauser
Published: Aug 16 2006
Pages: 502
Weight: 2.00
Height: 1.40 Width: 6.40 Depth: 9.30
Language: English

A fascinating connection between optimal stopping and free-boundary problems are covered by this book. The analysis uses minimal tools and focuses on key examples. The general theory of optimal stopping is exposed at its basic principles in both discrete and continuous time. It marries the classic methods of solution with more recent ones and a detailed chapter on stochastic processes makes the material more accessible to a wider cross-disciplinary audience. The book is an ideal compendium for an interested reader wishing to master stochastic calculus via fundamental examples. Areas of application where examples are worked out in full detail include financial mathematics, financial engineering, and mathematical statistics. The book will appeal to graduate and postgraduate students, researchers, and practitioners.

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