Publication year: 2006
ISBN: 978-3-7643-7390-0
Internet Resource: Please Login to download book
The present monograph 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.
Subject: Mathematics and Statistics, Analysis, Financial mathematics, Mathematical statistics, Measure, Stochastic Processes, Stochastic analysis, Stochastic process, stochastic calculus