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Linear programming approach to the optimal stopping of singular stochastic processes
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Linear programming approach to the optimal stopping of singular stochastic processes (2007)Linear programming approach to the optima…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Russian option: Finite horizon (2005)The Russian option: Finite ho…Stochastic Differential Equations (2003)Stochastic Differential Equat…Linear Programming Formulation for Optimal Stopping Problems (2002)Linear Programming Formulatio…Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems (2001)Stationary Solutions and Forw…On the Russian Option: The Expected Waiting Time (1998)On the Russian Option: The Ex…Existence of Markov Controls and Characterization of Optimal Markov Controls (1998)Existence of Markov Controls …A New Look at Pricing of the ”Russian Option“ (1995)A New Look at Pricing of the …Time-Average Control of Martingale Problems: Existence of a Stationary Solution (1990)Time-Average Control of Marti…Time-Average Control of Martingale Problems: A Linear Programming Formulation (1990)Time-Average Control of Marti…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…An Introduction to Singular Stochastic Control (1988)An Introduction to Singular S…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochastic Control Problems in Continuous Time (1992)On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time (2011)A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING (2012)On the solution of general impulse control problems using superharmonic functions (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Optimal stopping of the maximum process: the maximality principle (1998)Russian and American put options under exponential phase-type Lévy models (2003)Fluctuations of Lévy Processes with Applications (2014)Semimartingales: A course on stochastic processes (1986)Ergodic control of degenerate diffusions (1997)Approximation of Infinite-Dimensional Linear Programming Problems which Arise in Stochastic Control (1998)Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems (2013)Mimicking the one-dimensional marginal distributions of processes having an ito differential (1986)Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)Pathwise Stochastic Optimal Control (2007)Mean field games via controlled martingale problems: Existence of Markovian equilibria (2015)Limit Theory for Controlled McKean--Vlasov Dynamics (2017)Portfolio Selection with Transaction Costs (1990)Optimal Investment and Consumption with Transaction Costs (1994)Asymptotic lower bounds for optimal tracking: A linear programming approach (2017)Multiple collisions in systems of competing Brownian particles (2017)On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries (2017)The Analytic Valuation of American Options (1990)Optimal Stopping and the American Put (1991)Methods of Mathematical Finance (1998)Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004)Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (2005)The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets (2008)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Stochastic Optimal Control and Linear Programming Approach (2010)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)A Brief History of Generative Models for Power Law and Lognormal Distributions (2004)Adapted solution of a backward stochastic differential equation (1990)5 Stochastic volatility (1996)
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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 2003Stochastic Differential Equations3,081 cited
  • 1989Brownian Motion and Stochastic Calculus.1,036 cited
  • 1998Existence of Markov Controls and Characterization of Optimal Markov Controls147 cited
  • 1995A New Look at Pricing of the ”Russian Option“122 cited
  • 2005The Russian option: Finite horizon99 cited
  • 2001Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems62 cited
  • 1990Time-Average Control of Martingale Problems: Existence of a Stationary Solution58 cited
  • 1990Time-Average Control of Martingale Problems: A Linear Programming Formulation56 cited
  • 2002Linear Programming Formulation for Optimal Stopping Problems53 cited
  • 1988An Introduction to Singular Stochastic Control27 cited
  • 1998On the Russian Option: The Expected Waiting Time17 cited

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