Optimal Stopping And Free Boundary Problems
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Author | : Goran Peskir |
Publisher | : Birkhäuser |
Total Pages | : 500 |
Release | : 2006-08-16 |
Genre | : Business & Economics |
ISBN | : 9783764324193 |
Download Optimal Stopping and Free-Boundary Problems Book in PDF, Epub and Kindle
The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools and focusing on key examples. The general theory of optimal stopping is exposed at the level of basic principles in both discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from classic ones (such as change of time, change of space, change of measure) to more recent ones (such as local time-space calculus and nonlinear integral equations). A detailed chapter on stochastic processes is included making the material more accessible to a wider cross-disciplinary audience. The book may be viewed as an ideal compendium for an interested reader who wishes to master stochastic calculus via fundamental examples. Areas of application where examples are worked out in full detail include financial mathematics, financial engineering, mathematical statistics, and stochastic analysis.
Author | : Kumar Muthuraman |
Publisher | : Now Publishers Inc |
Total Pages | : 94 |
Release | : 2008 |
Genre | : Boundary value problems |
ISBN | : 1601981686 |
Download Solving Free-boundary Problems with Applications in Finance Book in PDF, Epub and Kindle
Outlines and explains a recent computational method that solves free boundary problems by reducing them into a sequence of fixed boundary problems which are relatively easy to solve numerically.
Author | : Goran Peskir |
Publisher | : Springer Science & Business Media |
Total Pages | : 515 |
Release | : 2006-11-10 |
Genre | : Mathematics |
ISBN | : 3764373903 |
Download Optimal Stopping and Free-Boundary Problems Book in PDF, Epub and Kindle
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.
Author | : Pierre Lucien Jules Van Moerbeke |
Publisher | : |
Total Pages | : 216 |
Release | : 1973 |
Genre | : |
ISBN | : |
Download Optimal Stopping and Free Boundary Problems Book in PDF, Epub and Kindle
Author | : Goran Peskir |
Publisher | : |
Total Pages | : 108 |
Release | : 2001 |
Genre | : Boundary value problems |
ISBN | : |
Download Principles of Optimal Stopping and Free-boundary Problems Book in PDF, Epub and Kindle
Author | : Goran Peskir |
Publisher | : |
Total Pages | : 500 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Principles of Optimal Stopping and Free-boundary Problems Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Lecture Notes Series Book in PDF, Epub and Kindle
Author | : Marek Niezgodka |
Publisher | : CRC Press |
Total Pages | : 462 |
Release | : 1996-11-25 |
Genre | : Mathematics |
ISBN | : 9780582305939 |
Download Free Boundary Problems, Theory and Applications Book in PDF, Epub and Kindle
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.
Author | : T. L. Lai |
Publisher | : |
Total Pages | : 33 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping Book in PDF, Epub and Kindle
Author | : Isabel Narra Figueiredo |
Publisher | : Springer Science & Business Media |
Total Pages | : 462 |
Release | : 2007-01-11 |
Genre | : Mathematics |
ISBN | : 3764377194 |
Download Free Boundary Problems Book in PDF, Epub and Kindle
This book collects refereed lectures and communications presented at the Free Boundary Problems Conference (FBP2005). These discuss the mathematics of a broad class of models and problems involving nonlinear partial differential equations arising in physics, engineering, biology and finance. Among other topics, the talks considered free boundary problems in biomedicine, in porous media, in thermodynamic modeling, in fluid mechanics, in image processing, in financial mathematics or in computations for inter-scale problems.