Buch, Englisch, 502 Seiten, Book, Format (B × H): 172 mm x 238 mm, Gewicht: 2010 g
Buch, Englisch, 502 Seiten, Book, Format (B × H): 172 mm x 238 mm, Gewicht: 2010 g
Reihe: Lectures in Mathematics. ETH Zürich
ISBN: 978-3-7643-2419-3
Verlag: Springer
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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
- Mathematik | Informatik Mathematik Operations Research Spieltheorie
- Mathematik | Informatik Mathematik Mathematische Analysis Variationsrechnung
- Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
Weitere Infos & Material
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.
