Optimal Stopping And Free Boundary Problems
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Optimal Stopping and Free Boundary Problems
Author | : Goran Peskir,Albert Shiryaev |
Publsiher | : Springer Science & Business Media |
Total Pages | : 515 |
Release | : 2006-11-10 |
Genre | : Mathematics |
ISBN | : 9783764373900 |
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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.
Solving Free boundary Problems with Applications in Finance
Author | : Kumar Muthuraman,Sunil Kumar |
Publsiher | : Now Publishers Inc |
Total Pages | : 94 |
Release | : 2008 |
Genre | : Boundary value problems |
ISBN | : 9781601981684 |
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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.
Free Boundary Problems
Author | : Isabel Narra Figueiredo,Lisa Santos |
Publsiher | : Springer Science & Business Media |
Total Pages | : 462 |
Release | : 2007-01-11 |
Genre | : Mathematics |
ISBN | : 9783764377199 |
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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.
Free Boundary Problems Theory and Applications
Author | : Marek Niezgodka,Pawel Strzelecki |
Publsiher | : CRC Press |
Total Pages | : 462 |
Release | : 1996-11-25 |
Genre | : Mathematics |
ISBN | : 0582305934 |
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Addressing various aspects of nonlinear partial differential equations, this volume contains papers and lectures presented at the Congress on Free boundary Problems, Theory and Application held in Zakopane, Poland in 1995. Topics include existence, uniqueness, asymptotic behavior, and regularity of solutions and interfaces.
Principles of Optimal Stopping and Free boundary Problems
Author | : Goran Peskir |
Publsiher | : Unknown |
Total Pages | : 108 |
Release | : 2001 |
Genre | : Boundary value problems |
ISBN | : STANFORD:36105113405745 |
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Free Boundary Problems
Author | : A. Bossavit,M. Fremond |
Publsiher | : Unknown |
Total Pages | : 334 |
Release | : 1985 |
Genre | : Mathematics |
ISBN | : UCR:31210012400642 |
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Optimal Stopping Rules
Author | : Alʹbert Nikolaevich Shiri︠a︡ev |
Publsiher | : Springer |
Total Pages | : 238 |
Release | : 1978 |
Genre | : Mathematics |
ISBN | : UOM:39015056628665 |
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Free Boundary Problems
Author | : J I Diaz,Juan Luis Vazquez,M A Herrero,Amable Linan |
Publsiher | : CRC Press |
Total Pages | : 236 |
Release | : 1995-04-04 |
Genre | : Mathematics |
ISBN | : 0582256453 |
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This research note consists of selected contributions from the 1993 International Conference on "Free Boundary Problems: Theory and Applications." These represent coherent and high-level research in the field of free boundary problems. Topics include mean curvature flows, phase transitions and material sciences, fluid mechanics and combustion problems.