SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
16 references·0 citing·34 second hop
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs (2017)Optimal Boundary Surface for Irreversible…On irreversible investment (2010)On irreversible investmentA Model for Reversible Investment Capacity Expansion (2007)A Model for Reversible Invest…A Change-of-Variable Formula with Local Time on Surfaces (2007)A Change-of-Variable Formula …Optimal partially reversible investment with entry decision and general production function (2005)Optimal partially reversible …A stochastic representation theorem with applications to optimization and obstacle problems (2004)A stochastic representation t…Handbook of Brownian Motion - Facts and Formulae (2002)Handbook of Brownian Motion -…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Irreversible investment and industry equilibrium (1996)Irreversible investment and i…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…A Class of Solvable Stochastic Investment Problems Involving Singular Controls (1993)A Class of Solvable Stochasti…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984)Connections between Optimal S…The Value of Waiting to Invest (1982)The Value of Waiting to InvestControlled Diffusion Processes (1980)Controlled Diffusion ProcessesOn optimal stopping and free boundary problems (1976)On optimal stopping and free …Capital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Some solvable stochastic control problemst† (1980)Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems (1985)Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem (2008)Un Cours sur les Intégrales Stochastiques (2002)ON THE AMERICAN OPTION PROBLEM (2005)On the Constructions of the Skew Brownian Motion (2005)Stochastic Integration and Differential Equations (2005)Selling a stock at the ultimate maximum (2009)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Applications (1976)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)A general version of the fundamental theorem of asset pricing (1994)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)A jump to default extended CEV model: an application of Bessel processes (2006)Stochastic Calculus with Respect to Gaussian Processes (2001)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems226 cited
  • 2010On irreversible investment144 cited
  • 1996Irreversible investment and industry equilibrium136 cited
  • 2007A Model for Reversible Investment Capacity Expansion95 cited
  • 2004A stochastic representation theorem with applications to optimization and obstacle problems89 cited
  • 1993A Class of Solvable Stochastic Investment Problems Involving Singular Controls86 cited
  • 2005Optimal partially reversible investment with entry decision and general production function

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

85 cited

Cited by

No citing works inside the corpus for this window.