scientific article; zbMATH DE number 5016447
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Publication:3378055
zbMATH Open1115.60001MaRDI QIDQ3378055FDOQ3378055
Authors: Goran Peskir, Albert N. Shiryaev 
Publication date: 30 March 2006
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free-boundary problemoptimal stopping problemmaximum processmaximal inequalitieslocal time-space calculusultimate maximumAmerican option problemsprinciples of smooth and continuous fitsequential testing and quickest disorder detection problems
Bayesian problems; characterization of Bayes procedures (62C10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free boundary problems for PDEs (35R35) Other nonlinear integral equations (45G10) Systems of nonlinear integral equations (45G15) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05) Optimal stopping in statistics (62L15)
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