Past lectures

Optimal stopping and free boundary problems

Prof. Dr. Albert Shiryaev
Steklov Institute, Moscow, Russia

April 9 - July 2, 2002
Date and time: Tuesdays, 10:15 - 12:00
Location: HG G 43

Abstract

The course consists of the following blocks:

1. General Results on Optimal Stopping. Reduction to free boundary problems (Stephan Problems). Smooth fit condition and further relations to PDE. Martingale results and applications to American Options.

2. Maximal Inequalities. Special attention is paid to Brownian Motion and Bessel processes. BDG inequalities and related results.

3. Sequential Analysis. Statistical problems in sequential analysis. Change-point problems.

4. Financial Optimisation. Methods of solution via optimal stopping and free boundary problems. American options. Russian options. Quickiest detection of arbitrage.