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On the solution of general impulse control problems using superharmonic functions
16 references·1 citing·40 second hop
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References

  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 2003On the optimal stopping problem for one-dimensional diffusions235 cited
  • 2002Optimal stopping and perpetual options for Lévy processes233 cited
  • 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS191 cited
  • 1999Some applications of impulse control in mathematical finance132 cited
  • 2000Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves107 cited
  • 1998Optimal stochastic intervention control with application to the exchange rate105 cited
  • 2008Optimal Multiple Stopping of Linear Diffusions69 cited
  • 2004A Class of Solvable Impulse Control Problems66 cited
  • 2010On the One-Dimensional Optimal Switching Problem55 cited
  • 2008On the Optimal Stochastic Impulse Control of Linear Diffusions54 cited
  • 2002Linear Programming Formulation for Optimal Stopping Problems53 cited
  • 2007Optimal stopping of Hunt and Lévy processes47 cited
  • 2004Stochastic Forest Stand Value and Optimal Timber Harvesting47 cited
  • 2007

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On a solution of the optimal stopping problem for processes with independent increments
45 cited

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  • 2015A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion16 cited