Optimal Stopping and Free-Boundary Problems
Goran Peskir, Albert Nikolaevich Shiryaev · Birkhäuser Basel eBooks · 2006
The present monograph, based mainly on studies of the authors and their coauthors, and also on lectures given by the authors in the past few years, 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 Markovian approaches;To select a series of concrete problems of general interest from the theory of probability, mathematical statistics, and mathematical finance 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).