| 书目名称 | Optimal Stopping and Free-Boundary Problems | | 编辑 | Goran Peskir,Albert Shiryaev | | 视频video | | | 概述 | A comprehensive treatment of optimal stopping and free-boundary problems ranging from pure theoretical aspects describing methods of solution to specific examples worked out in full detail.Marries the | | 丛书名称 | Lectures in Mathematics. ETH Zürich | | 图书封面 |  | | 描述 | 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 (Aarhu | | 出版日期 | Book 2006 | | 关键词 | Analysis; Financial mathematics; Mathematical statistics; Measure; Stochastic Processes; Stochastic analy | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-7643-7390-0 | | isbn_ebook | 978-3-7643-7390-0 | | copyright | Birkh�user Basel 2006 |
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发表于 2025-3-21 16:05:37
