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Optimal Stopping And Free Boundary Problems
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Book Synopsis Optimal Stopping and Free-Boundary Problems by : Goran Peskir
Download or read book Optimal Stopping and Free-Boundary Problems written by Goran Peskir and published by Springer Science & Business Media. This book was released on 2006-11-10 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Optimal Stopping and Free-Boundary Problems by : Goran Peskir
Download or read book Optimal Stopping and Free-Boundary Problems written by Goran Peskir and published by Birkhäuser. This book was released on 2006-08-16 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools and focusing on key examples. The general theory of optimal stopping is exposed at the level of basic principles in both discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from classic ones (such as change of time, change of space, change of measure) to more recent ones (such as local time-space calculus and nonlinear integral equations). A detailed chapter on stochastic processes is included making the material more accessible to a wider cross-disciplinary audience. The book may be viewed as an ideal compendium for an interested reader who wishes to master stochastic calculus via fundamental examples. Areas of application where examples are worked out in full detail include financial mathematics, financial engineering, mathematical statistics, and stochastic analysis.
Book Synopsis Solving Free-boundary Problems with Applications in Finance by : Kumar Muthuraman
Download or read book Solving Free-boundary Problems with Applications in Finance written by Kumar Muthuraman and published by Now Publishers Inc. This book was released on 2008 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Principles of Optimal Stopping and Free-boundary Problems by : Goran Peskir
Download or read book Principles of Optimal Stopping and Free-boundary Problems written by Goran Peskir and published by . This book was released on 2001 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Free Boundary Problems, Theory and Applications by : Marek Niezgodka
Download or read book Free Boundary Problems, Theory and Applications written by Marek Niezgodka and published by CRC Press. This book was released on 1996-11-25 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author :Isabel Narra Figueiredo Publisher :Springer Science & Business Media ISBN 13 :3764377194 Total Pages :462 pages Book Rating :4.7/5 (643 download)
Book Synopsis Free Boundary Problems by : Isabel Narra Figueiredo
Download or read book Free Boundary Problems written by Isabel Narra Figueiredo and published by Springer Science & Business Media. This book was released on 2007-01-11 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Optimal Stopping Rules by : Alʹbert Nikolaevich Shiri︠a︡ev
Download or read book Optimal Stopping Rules written by Alʹbert Nikolaevich Shiri︠a︡ev and published by Springer. This book was released on 1978 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Free Boundary Problems by : A. Bossavit
Download or read book Free Boundary Problems written by A. Bossavit and published by . This book was released on 1985 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Free Boundary Problems by : J I Diaz
Download or read book Free Boundary Problems written by J I Diaz and published by CRC Press. This book was released on 1995-04-04 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Regularity of Free Boundaries in Obstacle-type Problems by : Arshak Petrosyan
Download or read book Regularity of Free Boundaries in Obstacle-type Problems written by Arshak Petrosyan and published by American Mathematical Soc.. This book was released on 2012 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: The regularity theory of free boundaries flourished during the late 1970s and early 1980s and had a major impact in several areas of mathematics, mathematical physics, and industrial mathematics, as well as in applications. Since then the theory continued to evolve. Numerous new ideas, techniques, and methods have been developed, and challenging new problems in applications have arisen. The main intention of the authors of this book is to give a coherent introduction to the study of the regularity properties of free boundaries for a particular type of problems, known as obstacle-type problems. The emphasis is on the methods developed in the past two decades. The topics include optimal regularity, nondegeneracy, rescalings and blowups, classification of global solutions, several types of monotonicity formulas, Lipschitz, $C^1$, as well as higher regularity of the free boundary, structure of the singular set, touch of the free and fixed boundaries, and more. The book is based on lecture notes for the courses and mini-courses given by the authors at various locations and should be accessible to advanced graduate students and researchers in analysis and partial differential equations.
Book Synopsis Free Boundary Problems Involving Solids by : J M Chadam
Download or read book Free Boundary Problems Involving Solids written by J M Chadam and published by CRC Press. This book was released on 1993-02-22 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the second of three volumes containing the proceedings of the International Colloquium 'Free Boundary Problems: Theory and Applications', held in Montreal from June 13 to June 22, 1990. The main theme of this volume is the concept of free boundary problems associated with solids. The first free boundary problem, the freezing of water - the Stefan problem - is the prototype of solidification problems which form the main part of this volume. The two sections treting this subject cover a large variety of topics and procedures, ranging from a theoretical mathematical treatment of solvability to numerical procedures for practical problems. Some new and interesting problems in solid mechanics are discussed in the first section while in the last section the important new subject of solid-solid-phase transition is examined.
Book Synopsis Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE by : Nizar Touzi
Download or read book Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE written by Nizar Touzi and published by Springer Science & Business Media. This book was released on 2012-09-25 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.
Book Synopsis Free Boundary Problems in PDEs and Particle Systems by : Gioia Carinci
Download or read book Free Boundary Problems in PDEs and Particle Systems written by Gioia Carinci and published by Springer. This book was released on 2016-06-22 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this volume a theory for models of transport in the presence of a free boundary is developed.Macroscopic laws of transport are described by PDE's. When the system is open, there are several mechanisms to couple the system with the external forces. Here a class of systems where the interaction with the exterior takes place in correspondence of a free boundary is considered. Both continuous and discrete models sharing the same structure are analysed. In Part I a free boundary problem related to the Stefan Problem is worked out in all details. For this model a new notion of relaxed solution is proposed for which global existence and uniqueness is proven. It is also shown that this is the hydrodynamic limit of the empirical mass density of the associated particle system. In Part II several other models are discussed. The expectation is that the results proved for the basic model extend to these other cases.All the models discussed in this volume have an interest in problems arising in several research fields such as heat conduction, queuing theory, propagation of fire, interface dynamics, population dynamics, evolution of biological systems with selection mechanisms.In general researchers interested in the relations between PDE’s and stochastic processes can find in this volume an extension of this correspondence to modern mathematical physics.
Book Synopsis Free Boundary Problems by : Antonio Fasano
Download or read book Free Boundary Problems written by Antonio Fasano and published by Pitman Advanced Publishing Program. This book was released on 1983 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Free Boundary Problems by : Ioannis Athanasopoulos
Download or read book Free Boundary Problems written by Ioannis Athanasopoulos and published by Routledge. This book was released on 2019-11-11 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: Free boundary problems arise in an enormous number of situations in nature and technology. They hold a strategic position in pure and applied sciences and thus have been the focus of considerable research over the last three decades. Free Boundary Problems: Theory and Applications presents the work and results of experts at the forefront of current research in mathematics, material sciences, chemical engineering, biology, and physics. It contains the plenary lectures and contributed papers of the 1997 International Interdisciplinary Congress proceedings held in Crete. The main topics addressed include free boundary problems in fluid and solid mechanics, combustion, the theory of filtration, and glaciology. Contributors also discuss material science modeling, recent mathematical developments, and numerical analysis advances within their presentations of more specific topics, such as singularities of interfaces, cusp cavitation and fracture, capillary fluid dynamics of film coating, dynamics of surface growth, phase transition kinetics, and phase field models. With the implications of free boundary problems so far reaching, it becomes important for researchers from all of these fields to stay abreast of new developments. Free Boundary Problems: Theory and Applications provides the opportunity to do just that, presenting recent advances from more than 50 researchers at the frontiers of science, mathematics, and technology.
Book Synopsis Stochastic Differential Equations by : Bernt Oksendal
Download or read book Stochastic Differential Equations written by Bernt Oksendal and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.
Book Synopsis The obstacle problem by : Luis Angel Caffarelli
Download or read book The obstacle problem written by Luis Angel Caffarelli and published by Edizioni della Normale. This book was released on 1999-10-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The material presented here corresponds to Fermi lectures that I was invited to deliver at the Scuola Normale di Pisa in the spring of 1998. The obstacle problem consists in studying the properties of minimizers of the Dirichlet integral in a domain D of Rn, among all those configurations u with prescribed boundary values and costrained to remain in D above a prescribed obstacle F. In the Hilbert space H1(D) of all those functions with square integrable gradient, we consider the closed convex set K of functions u with fixed boundary value and which are greater than F in D. There is a unique point in K minimizing the Dirichlet integral. That is called the solution to the obstacle problem.
