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Optimal Stopping and Free-Boundary Problems

Goran Peskir; Albert Shiryaev

978-3-7643-7390-0

2006
Edition 1
- A comprehensive treatment of optimal stopping and free-boundary problems ranging from pure theoretical aspects describing methods of solution to specific examples worked out in full detail
- Marries the three classic problem formulations due to Lagrange (18th century), Mayer (19th century) and Bolza (1913) with the modern problem formulation based on the maximum functional to produce a unifying theory
- Deals with the principles of smooth and continuous fit in a unifying way
- Presents complete solutions to option problems (American, Russian, Asian) using local time-space calculus and nonlinear integral equations
- Presents solutions to problems of optimal prediction of the ultimate maximum opening new avenues for research
- Includes supplementary material: sn.pub/extras
€260

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