Overview
- 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 three classic problem formulations due to Lagrange (18th century), Mayer (19th century) and Bolza (1913) with the modern problem formulation based on the maximum functional to produce a unifying theory
- Deals with the principles of smooth and continuous fit in a unifying way
- Presents complete solutions to option problems (American, Russian, Asian) using local time-space calculus and nonlinear integral equations
- Presents solutions to problems of optimal prediction of the ultimate maximum opening new avenues for research
- Includes supplementary material: sn.pub/extras
Part of the book series: Lectures in Mathematics. ETH Zürich (LM)
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Table of contents (8 chapters)
Keywords
About this book
Authors and Affiliations
Bibliographic Information
Book Title: Optimal Stopping and Free-Boundary Problems
Authors: Goran Peskir, Albert Shiryaev
Series Title: Lectures in Mathematics. ETH Zürich
DOI: https://doi.org/10.1007/978-3-7643-7390-0
Publisher: Birkhäuser Basel
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Birkh�user Basel 2006
Hardcover ISBN: 978-3-7643-2419-3Published: 16 August 2006
eBook ISBN: 978-3-7643-7390-0Published: 10 November 2006
Edition Number: 1
Number of Pages: XXII, 502
Topics: Probability Theory and Stochastic Processes, Calculus of Variations and Optimal Control; Optimization, Partial Differential Equations, Quantitative Finance