Optimal Stopping and Free-Boundary Problems / Edition 1

by Goran Peskir, Albert Shiryaev

Overview

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 shastic 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.

Product Details

ISBN-13:	9783764324193
Publisher:	Birkhäuser Basel
Publication date:	09/25/2006
Series:	Lectures in Mathematics. ETH Zürich
Edition description:	2006
Pages:	502
Product dimensions:	6.10(w) x 9.25(h) x 0.04(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.