Principles Of Optimal Stopping And Free Boundary Problems

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 equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.

Addressing various aspects of nonlinear partial differential equations, this volume contains papers and lectures presented at the Congress on Free boundary Problems, Theory and Application held in Zakopane, Poland in 1995. Topics include existence, uniqueness, asymptotic behavior, and regularity of solutions and interfaces.

Free boundary problems arise in an enormous number of situations in nature and technology. They hold a strategic position in pure and applied sciences and thus have been the focus of considerable research over the last three decades. Free Boundary Problems: Theory and Applications presents the work and results of experts at the forefront of current research in mathematics, material sciences, chemical engineering, biology, and physics. It contains the plenary lectures and contributed papers of the 1997 International Interdisciplinary Congress proceedings held in Crete. The main topics addressed include free boundary problems in fluid and solid mechanics, combustion, the theory of filtration, and glaciology. Contributors also discuss material science modeling, recent mathematical developments, and numerical analysis advances within their presentations of more specific topics, such as singularities of interfaces, cusp cavitation and fracture, capillary fluid dynamics of film coating, dynamics of surface growth, phase transition kinetics, and phase field models. With the implications of free boundary problems so far reaching, it becomes important for researchers from all of these fields to stay abreast of new developments. Free Boundary Problems: Theory and Applications provides the opportunity to do just that, presenting recent advances from more than 50 researchers at the frontiers of science, mathematics, and technology.