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ArticleGames of singular control and stopping driven by spectrally one-sided Lévy processes

Daniel Hernández–Hernández2014

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Articlebronze2014

Games of singular control and stopping driven by spectrally one-sided Lévy processes

Daniel Hernández–Hernández · Kazutoshi Yamazaki

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

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Stochastic processes and financial applications Game Theory and Applications Probability and Risk Models

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References

2001Robust Control and Model Uncertainty 2006Robust control and model misspecification 2003Russian and American put options under exponential phase-type Lévy models 2007On the optimal dividend problem for a spectrally negative Lévy process 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options 2012The Theory of Scale Functions for Spectrally Negative Lévy Processes 1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems 2008On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes

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2016Optimality of Refraction Strategies for Spectrally Negative Lévy Processes

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Year2014

Typearticle

Published2014-08-11

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2014.07.020

openalex_workW2009790812

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