Principles Of 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: Birkhäuser
Release Date : 2006-08-16
Optimal Stopping And Free Boundary Problems written by Goran Peskir and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08-16 with Business & Economics categories.
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.
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.
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.
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.
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.
Variational Principles And Free Boundary Problems
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Author : Avner Friedman
language : en
Publisher:
Release Date : 1988
Variational Principles And Free Boundary Problems written by Avner Friedman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Mathematics categories.
This advanced graduate-level text examines variational methods in partial differential equations and illustrates their applications to a number of free-boundary problems. Detailed statements of the standard theory of elliptic and parabolic operators make this treatment readable for engineers, students, and nonspecialists alike. The text's first two chapters can be used for a single-semester graduate course in variational inequalities or partial differential equations. The succeeding chapters -- covering jets and cavities, variational problems with potentials, and free-boundary problems not in variational form -- are more specialized and self-contained. Readers who have mastered chapters 1 and 2 will be able to conduct research on the problems explored in subsequent chapters. Bibliographic remarks conclude each chapter, along with several problems and exercises.
Numerical Methods For Free Boundary Problems
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Author : VEITTAANMÄKI
language : en
Publisher: Birkhäuser
Release Date : 2013-11-22
Numerical Methods For Free Boundary Problems written by VEITTAANMÄKI and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-22 with Social Science categories.
About 80 participants from 16 countries attended the Conference on Numerical Methods for Free Boundary Problems, held at the University of Jyviiskylii, Finland, July 23-27, 1990. The main purpose of this conference was to provide up-to-date information on important directions of research in the field of free boundary problems and their numerical solutions. The contributions contained in this volume cover the lectures given in the conference. The invited lectures were given by H.W. Alt, V. Barbu, K-H. Hoffmann, H. Mittelmann and V. Rivkind. In his lecture H.W. Alt considered a mathematical model and existence theory for non-isothermal phase separations in binary systems. The lecture of V. Barbu was on the approximate solvability of the inverse one phase Stefan problem. K-H. Hoff mann gave an up-to-date survey of several directions in free boundary problems and listed several applications, but the material of his lecture is not included in this proceedings. H.D. Mittelmann handled the stability of thermo capillary convection in float-zone crystal growth. V. Rivkind considered numerical methods for solving coupled Navier-Stokes and Stefan equations. Besides of those invited lectures mentioned above there were 37 contributed papers presented. We shall briefly outline the topics of the contributed papers: Stefan like problems. Modelling, existence and uniqueness.
Optimal Control Theory
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Author : Donald E. Kirk
language : en
Publisher: Courier Corporation
Release Date : 2012-04-26
Optimal Control Theory written by Donald E. Kirk and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-26 with Technology & Engineering categories.
Upper-level undergraduate text introduces aspects of optimal control theory: dynamic programming, Pontryagin's minimum principle, and numerical techniques for trajectory optimization. Numerous figures, tables. Solution guide available upon request. 1970 edition.