Optimal stopping and free-boundary problems
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 mar...
Enregistré dans:
| Auteurs principaux: | , |
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| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
Basel :
Birkhäuser Basel
[20..].
Cham : Springer Nature |
| Collection: | Lectures in Mathematics. ETH Zürich
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| Sujets: | |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Description d'après consultation du 15 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Optimal stopping and free boundary problems, Goran Peskir, Albert Shiryaev, 2006, Basel [etc.], Birkhäuser Verlag, 1 vol. (XXII-500 p.), Lectures in mathematics / ETH Zürich, 3-7643-2419-8 |
| Résumé: | 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 (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 |
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| Description: | Description d'après consultation du 15 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliographie: | Bibliogr. p. [477]-492. Index |
| ISBN: | 9783764373900 |
| Accès: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |