Optimal Stopping and Free-Boundary Problems

Peskir, G., & Shiryaev, A. (2006). Optimal Stopping and Free-Boundary Problems.

Type

Book

Intellectual base

Review or monograph

Year

2006

DOI

10.1007/978-3-7643-7390-0

ISBN

9783764324193

DOI registrant

Springer Nature (Birkhäuser Basel)

Link

https://doi.org/10.1007/978-3-7643-7390-0

Cited from

economics_finance

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Optimal Stopping Rule
  • A reasoner equipped with the boundary abstraction does not need to re-derive a bespoke rule per domain; the canonical results — the 1/e rule for exchangeable arrivals, the sequential probability ratio test for sequential testing, the Snell envelope for Markovian processes, reservation-value rules for stationary search

    This sourceRigorous treatment connecting optimal stopping (Snell envelope, martingale and Markovian methods) to free-boundary problems in analysis.

    Supported in partVerified against the publisher's abstract

    The monograph's own abstract backs the frame that optimal stopping problems across probability, statistics and finance reduce to free-boundary problems, but names none of the four canonical rules the claim enumerates.

    “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).”

    Read by an automated reader; not a human review. How support was checked

Verification

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