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On a solution of the optimal stopping problem for processes with independent increments
2 references·4 citing·19 second hop
On a solution of the optimal stopping problem for processes with independent increments (2007)On a solution of the optimal stopping pro…Stochastic Processes in Queueing Theory (1976)Stochastic Processes in Queue…Optimal Stopping for Partial Sums (1972)Optimal Stopping for Partial …On the solution of general impulse control problems using superharmonic functions (2013)On the solution of general im…Optimal stopping of strong Markov processes (2012)Optimal stopping of strong Ma…Optimal stopping, Appell polynomials, and Wiener–Hopf factorization (2011)Optimal stopping, Appell poly…Optimal Stopping for Processes with Independent Increments, and Applications (2009)Optimal Stopping for Processe…Handbook of Brownian Motion - Facts and Formulae (2002)Optimal stopping and perpetual options for Lévy processes (2002)On the optimal stopping problem for one-dimensional diffusions (2003)Optimal stopping and free-boundary problems (2006)Applied Stochastic Control of Jump Diffusions (2007)A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion (2015)A weak convergence approach to inventory control using a long-term average criterion (2018)Théorie de la spéculation (1900)The Random Character of Stock Market Prices (1968)American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View (2003)American options: the EPV pricing model (2005)Optimal stopping of Hunt and Lévy processes (2007)Fluctuation theory in continuous time (1975)Russian and American put options under exponential phase-type Lévy models (2003)Handbook of Brownian Motion — Facts and Formulae (1996)Continuous Martingales and Brownian Motion (1999)Approximating a Point Process by a Renewal Process, I: Two Basic Methods (1982)Martingale Methods in Financial Modelling (1997)Fluctuations of Lévy Processes with Applications (2014)
this work references cited by second hop

References

  • 1976Stochastic Processes in Queueing Theory674 cited
  • 1972Optimal Stopping for Partial Sums75 cited

Cited by

  • 2012Optimal stopping of strong Markov processes34 cited
  • 2011Optimal stopping, Appell polynomials, and Wiener–Hopf factorization29 cited
  • 2013On the solution of general impulse control problems using superharmonic functions29 cited
  • 2009Optimal Stopping for Processes with Independent Increments, and Applications24 cited

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