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Optimal stopping and free boundary problems / Goran Peskir, Albert Shiryaev
| Optimal stopping and free boundary problems / Goran Peskir, Albert Shiryaev |
| Autore | Peskir, Goran |
| Pubbl/distr/stampa | Basel ; Boston ; Berlin : Birkhäuser Verlag, c2006 |
| Descrizione fisica | xxii, 500 p. : ill. ; 24 cm |
| Disciplina | 519.5 |
| Altri autori (Persone) | Shiryaev, Albert Nikolaevich |
| Collana | Lectures in mathematics ETH Zurich |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Boundary value problems Nonlinear integral equations Economics, Mathematical |
| ISBN |
3764324198
3764373903 (e-ISBN) |
| Classificazione |
60G40
AMS 60-99 LC QA279.7.P47 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001855769707536 |
Peskir, Goran
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| Basel ; Boston ; Berlin : Birkhäuser Verlag, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Stochastic Differential Equations [[electronic resource] ] : An Introduction with Applications / / by Bernt Oksendal
| Stochastic Differential Equations [[electronic resource] ] : An Introduction with Applications / / by Bernt Oksendal |
| Autore | Oksendal Bernt |
| Edizione | [5th ed. 1998.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 |
| Descrizione fisica | 1 online resource (XIX, 324 p.) |
| Disciplina | 519.2 |
| Collana | Universitext |
| Soggetto topico |
Probabilities
Partial differential equations Mathematical physics System theory Calculus of variations Probability Theory and Stochastic Processes Partial Differential Equations Theoretical, Mathematical and Computational Physics Systems Theory, Control Calculus of Variations and Optimal Control; Optimization |
| ISBN | 3-662-03620-7 |
| Classificazione |
60G40
60H10 60J45 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Some Mathematical Preliminaries -- 3. Ito Integrals -- 4. The Ito Formula and the Martingale Representation Theorem -- 5. Stochastic Differential Equations -- 6. The Filtering Problem -- 7. Diffusions: Basic Properties -- 8. Other Topics in Diffusion Theory -- 9. Applications to Boundary Value Problems -- 10. Application to Optimal Stopping -- 11. Application to Stochastic Control -- 12. Application to Mathematical Finance -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectation -- Appendix C: Uniform Integrability and Martingale Convergence -- Appendix D: An Approximation Result -- Solutions and Additional Hints to Some of the Exercises -- References -- List of Frequently Used Notation and Symbols. |
| Record Nr. | UNINA-9910792486203321 |
|
Oksendal Bernt
|
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic Differential Equations : An Introduction with Applications / / by Bernt Oksendal
| Stochastic Differential Equations : An Introduction with Applications / / by Bernt Oksendal |
| Autore | Oksendal Bernt |
| Edizione | [5th ed. 1998.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 |
| Descrizione fisica | 1 online resource (XIX, 324 p.) |
| Disciplina | 519.2 |
| Collana | Universitext |
| Soggetto topico |
Probabilities
Differential equations Mathematical physics System theory Control theory Mathematical optimization Calculus of variations Probability Theory Differential Equations Theoretical, Mathematical and Computational Physics Systems Theory, Control Calculus of Variations and Optimization |
| ISBN | 3-662-03620-7 |
| Classificazione |
60G40
60H10 60J45 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Some Mathematical Preliminaries -- 3. Ito Integrals -- 4. The Ito Formula and the Martingale Representation Theorem -- 5. Stochastic Differential Equations -- 6. The Filtering Problem -- 7. Diffusions: Basic Properties -- 8. Other Topics in Diffusion Theory -- 9. Applications to Boundary Value Problems -- 10. Application to Optimal Stopping -- 11. Application to Stochastic Control -- 12. Application to Mathematical Finance -- Appendix A: Normal Random Variables -- Appendix B: Conditional Expectation -- Appendix C: Uniform Integrability and Martingale Convergence -- Appendix D: An Approximation Result -- Solutions and Additional Hints to Some of the Exercises -- References -- List of Frequently Used Notation and Symbols. |
| Record Nr. | UNINA-9910958983203321 |
|
Oksendal Bernt
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1998 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
