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.Theauthorsthank L.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), Ma Phy Sto (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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विषयसूची
Optimal stopping: General facts.- Stochastic processes: A brief review.- Optimal stopping and free-boundary problems.- Methods of solution.- Optimal stopping in stochastic analysis.- Optimal stopping in mathematical statistics.- Optimal stopping in mathematical finance.- Optimal stopping in financial engineering.यह ईबुक खरीदें और 1 और मुफ़्त पाएं!
भाषा अंग्रेज़ी ● स्वरूप PDF ● पेज 502 ● ISBN 9783764373900 ● फाइल का आकार 4.0 MB ● प्रकाशक Springer Basel ● शहर Basel ● देश CH ● प्रकाशित 2006 ● डाउनलोड करने योग्य 24 महीने ● मुद्रा EUR ● आईडी 2205613 ● कॉपी सुरक्षा सामाजिक DRM
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