Optimal Stopping and Free Boundary Problems


Goran Peskir
The University of Manchester
goran.at.maths.man.ac.uk

The lectures will aim at disclosing a fascinating connection between optimal stopping problems in probability and free boundary problems in analysis. The following topics and their applications will be addressed in more detail:


  1. Optimal stopping and free boundary problems;
  2. Optimal prediction problems;
  3. The British option;
  4. Selling a stock at the ultimate maximum;
  5. Optimal stopping games and Nash equilibrium.