Optimal Stopping And Free Boundary Problems
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Optimal Stopping And Free Boundary Problems
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Author : Goran Peskir
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-11-10
Optimal Stopping And Free Boundary Problems written by Goran Peskir and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-10 with Mathematics categories.
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.
Principles Of Optimal Stopping And Free Boundary Problems
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Author : Goran Peskir
language : en
Publisher:
Release Date : 2001
Principles Of Optimal Stopping And Free Boundary Problems written by Goran Peskir and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Boundary value problems categories.
Free Boundary Problems
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Author : Isabel Narra Figueiredo
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-01-11
Free Boundary Problems written by Isabel Narra Figueiredo and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-11 with Mathematics categories.
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.
Principles Of Optimal Stopping And Free Boundary Problems
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Author : Goran Peskir
language : en
Publisher:
Release Date : 2006
Principles Of Optimal Stopping And Free Boundary Problems written by Goran Peskir and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Lecture Notes Series
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Author :
language : en
Publisher:
Release Date : 2001
Lecture Notes Series written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Solving Free Boundary Problems With Applications In Finance
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Author : Kumar Muthuraman
language : en
Publisher: Now Publishers Inc
Release Date : 2008
Solving Free Boundary Problems With Applications In Finance written by Kumar Muthuraman and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
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.
Optimal Stochastic Control Stochastic Target Problems And Backward Sde
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Author : Nizar Touzi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-25
Optimal Stochastic Control Stochastic Target Problems And Backward Sde written by Nizar Touzi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-25 with Mathematics categories.
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.
Geometric Measure Theory And Free Boundary Problems
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Author : Guido De Philippis
language : en
Publisher: Springer Nature
Release Date : 2021-03-23
Geometric Measure Theory And Free Boundary Problems written by Guido De Philippis and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-23 with Mathematics categories.
This volume covers contemporary aspects of geometric measure theory with a focus on applications to partial differential equations, free boundary problems and water waves. It is based on lectures given at the 2019 CIME summer school “Geometric Measure Theory and Applications – From Geometric Analysis to Free Boundary Problems” which took place in Cetraro, Italy, under the scientific direction of Matteo Focardi and Emanuele Spadaro. Providing a description of the structure of measures satisfying certain differential constraints, and covering regularity theory for Bernoulli type free boundary problems and water waves as well as regularity theory for the obstacle problems and the developments leading to applications to the Stefan problem, this volume will be of interest to students and researchers in mathematical analysis and its applications.
Optimal Stopping And Free Boundary Problems
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Author : Pierre Lucien Jules Van Moerbeke
language : en
Publisher:
Release Date : 1973
Optimal Stopping And Free Boundary Problems written by Pierre Lucien Jules Van Moerbeke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1973 with categories.
Optimal Stopping Rules
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Author : Albert N. Shiryaev
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-09-23
Optimal Stopping Rules written by Albert N. Shiryaev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-23 with Mathematics categories.
Although three decades have passed since the first publication of this book, it is reprinted now as a result of popular demand. The content remains up-to-date and interesting for many researchers as is shown by the many references to it in current publications. The author is one of the leading experts of the field and gives an authoritative treatment of a subject.