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.
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.
Many phenomena of interest for applications are represented by differential equations which are defined in a domain whose boundary is a priori unknown, and is accordingly named a "free boundary". A...
A broad but detailed account of the modelling of free and moving boundary problems, which are of interest across a wide variety of scientific subjects.
This monograph contains a collection of 16 papers that were presented at the confer ence "Free Boundary Problems: Numerical 7reatment and Optimal Control", held at the Mathematisches...
Some extremum and unilateral boundary value problems in viscous hydrodynamics.- On axisymmetric motion of the fluid with a free surface.- On the occurrence of singularities in axisymmetrical problems...
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...
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