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On a class of optimal stopping problems for diffusions with discontinuous coefficients
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On a class of optimal stopping problems for diffusions with discontinuous coefficients (2008)On a class of optimal stopping problems f…Optimal Stopping of Linear Diffusions with Random Discounting (2008)Optimal Stopping of Linear Di…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…On one-dimensional stochastic differential equations with generalized drift (2005)On one-dimensional stochastic…On the optimal stopping problem for one-dimensional diffusions (2003)On the optimal stopping probl…A leavable bounded-velocity stochastic control problem (2002)A leavable bounded-velocity s…Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001)Stopping Brownian Motion With…Optimal Stopping of Regular Diffusions under Random Discounting (2001)Optimal Stopping of Regular D…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Viscosity solutions of optimal stopping problems (1998)Viscosity solutions of optima…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part III) (1991)Strong Markov Continuous Loca…Strong Markov Continuous Local Martingales and Solutions of One‐Dimensional Stochastic Differential Equations (Part I) (1989)Strong Markov Continuous Loca…Optimal Stopping of One-Dimensional Diffusions (1985)Optimal Stopping of One-Dimen…On an optimal stopping problem and a variational inequality (1978)On an optimal stopping proble…Stochastic Differential Games (1976)Stochastic Differential GamesStochastic Differential Equations and Applications (1976)Stochastic Differential Equat…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)One — dimensional stochastic differential equations involving the local times of the unknown process (1984)The Euler scheme with irregular coefficients (2002)On Weak Solutions of Backward Stochastic Differential Equations (2005)MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH DISTRIBUTIONAL DRIFT (2014)Semimartingales and Markov processes (1980)On the martingale property of certain local martingales (2010)How to Detect an Asset Bubble (2011)A Mathematical Theory of Financial Bubbles (2013)Methods of Mathematical Finance (1998)Essentials of Stochastic Finance (1999)Optimal prediction of the ultimate maximum of Brownian motion (2003)The trap of complacency in predicting the maximum (2007)Three-dimensional Brownian motion and the golden ratio rule (2013)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Brownian Models of Performance and Control (2013)OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (2015)Investment under uncertainty with financial constraints (2019)Stochastic Differential Equations and Diffusion Processes (1981)Brownian Motion and Stochastic Calculus (1988)Some SDEs with distributional drift. (2004)Convergence of integral functionals of one-dimensional diffusions (2012)Stochastic differential equations for sticky Brownian motion (2014)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)A Barrier Option of American Type (2000)On the properties of $r$-excessive mappings for a class of diffusions (2003)A Class of Solvable Impulse Control Problems (2004)Optimality results for dividend problems in insurance (2009)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
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  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 2003On the optimal stopping problem for one-dimensional diffusions235 cited
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  • 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum76 cited
  • 1976Stochastic Differential Games62 cited
  • 1998Viscosity solutions of optimal stopping problems57 cited
  • 2008Optimal Stopping of Linear Diffusions with Random Discounting39 cited
  • 2001Optimal Stopping of Regular Diffusions under Random Discounting30 cited
  • 2002A leavable bounded-velocity stochastic control problem

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28 cited
  • 1978On an optimal stopping problem and a variational inequality28 cited
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