Discrete And Continuous Boundary Problems
Download Discrete And Continuous Boundary Problems PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Discrete And Continuous Boundary Problems book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages.
Optimal Stopping and Free-Boundary Problems
Author: Goran Peskir
language: en
Publisher: Springer Science & Business Media
Release Date: 2006-11-10
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.