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On the solution of general impulse control problems using superharmonic functions · Study

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ArticleOn the solution of general impulse control problems using superharmonic functions

Sören Christensen2013

OA

Articlebronze2013

On the solution of general impulse control problems using superharmonic functions

Sören Christensen

29 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Risk Models Adaptive Dynamic Programming Control

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References

2006Optimal stopping and free-boundary problems 2007Applied Stochastic Control of Jump Diffusions 2003On the optimal stopping problem for one-dimensional diffusions 2002Optimal stopping and perpetual options for Lévy processes 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS 1999Some applications of impulse control in mathematical finance 2000Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves 1998Optimal stochastic intervention control with application to the exchange rate

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Year2013

Typearticle

Published2013-09-25

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2013.09.008

openalex_workW1996327401

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