Optimal Stopping and Free-Boundary Problems

by Goran Peskir, Albert N. Shiryaev, Albert Shiryaev

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...

• Format: Hardcover
• Language: English
• ISBN: 3764324198
• ISBN13: 9783764324193
• Release Date: August 2006
• Publisher: Birkhauser
• Length: 502 Pages
• Weight: 2.00 lbs.
• Dimensions: 1.4" x 6.4" x 9.3"