Department of Mathematics and Statistics
University of Jyväskylä
32nd Jyväskylä Summer School

MA3: Optimal Stopping and Free-Boundary Problems
Goran Peskir (The University of Manchester)

Abstract

The lectures will disclose a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis. The focus will be on explaining the key concepts and principles through examples. The topics to be covered and linked to free-boundary problems include:

Optimal stopping problems
Optimal prediction problems
Nonlinear optimal stopping problems
Quickest detection problems
Optimal stopping games

Dates and Times

14.08.2023 - 18.08.2023 (Monday - Friday)
10:15-12:00 Finnish time

Teaching material

Supplementary teaching material

Organization as hybrid course

Coordinator: Stefan Geiss
Lecturing room: MaD207
The lectures can be followed online under Zoom.
In case of questions, please contact Irfan Durmic or Stefan Geiss.

Passing the course

The prepared solutions, written in LaTeX, should be sent by email to Goran Peskir by Monday, September 18, the latest.
Feel free to use any of the resources available on this course website and please remember to cite the sources that you use.
In case of any questions, please contact the coordinator Stefan Geiss.

Department of Mathematics and Statistics University of Jyväskylä 32nd Jyväskylä Summer School

MA3: Optimal Stopping and Free-Boundary Problems Goran Peskir (The University of Manchester)