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An impulse control of a geometric Brownian motion with quadratic costs
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An impulse control of a geometric Brownian motion with quadratic costs (2004)An impulse control of a geometric Brownia…Time-to-build and capacity choice (2002)Time-to-build and capacity ch…Consumption-investment problems with transaction costs: Survey and open problems (2000)Consumption-investment proble…Stochastic Control Problems where Small Intervention Costs Have Big Effects (1999)Stochastic Control Problems w…Some applications of impulse control in mathematical finance (1999)Some applications of impulse …Optimal Central Bank Intervention in the Foreign Exchange Market (1999)Optimal Central Bank Interven…Optimization of the flow of dividends (1995)Optimization of the flow of d…Markov models and optimization. (1994)Markov models and optimizatio…Markov Models & Optimization (1993)Markov Models & OptimizationImpulse Control Method and Exchange Rate (1993)Impulse Control Method and Ex…A simplified treatment of the theory of optimal regulation of Brownian motion (1991)A simplified treatment of the…Stochastic Analysis and Related Topics II (1990)Stochastic Analysis and Relat…Impulse Control of Brownian Motion (1983)Impulse Control of Brownian M…Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time (1978)Existence of Optimal Simple P…Target Zones and Exchange Rate Dynamics (1991)Controlled Markov Processes and Viscosity Solutions (2005)OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR (2006)Brownian Motion and Stochastic Calculus (2007)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)Impulse Control of Multidimensional Jump Diffusions (2010)Hysteresis, Import Penetration, and Exchange Rate Pass-Through (1989)Target Zones and Realignments (1990)Portfolio optimisation with strictly positive transaction costs and impulse control (1998)The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis (2007)Continuous Martingales and Brownian Motion (1991)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Competition Among Financial Intermediaries and the Risk of Contagious Failures (2011)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Controlled Diffusion Processes (1980)Continuous Martingales and Brownian Motion (1999)Optimal investment for insurer with jump-diffusion risk process (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Fluctuations of Lévy Processes with Applications (2014)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Irreversible Investment with Price Ceilings (1991)Debt in Industry Equilibrium (1997)Trend Employment Growth and the Bunching of Job Creation and Destruction (1998)Introduction to stochastic control (1971)MARKET RISK ADJUSTMENT IN PROJECT VALUATION (1978)Instantaneous Control of Brownian Motion (1983)The Optimality of (S,s) Policies in the Dynamic Inventory Problem (2005)Stochastic Differential Equations (2006)Sheltering Corporate Assets from Political Extraction (2011)Optimum Pricing Policy under Stochastic Inflation (1983)Super contact and related optimality conditions (1991)Stability and convergence of moments for multiclass queueing networks via fluid limit models (1995)Controlled diffusion models for optimal dividend pay-out (1997)Dynamic modeling and control of supply chain systems: A review (2007)Strategic financial risk management and operations research (1997)Stochastic Hybrid Control (2000)Optimal control of stochastic hybrid system with jumps: A numerical approximation (2013)Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces (1995)Optimal impulse control for a multidimensional cash management system with generalized cost functions (2008)Forward–backward linear quadratic stochastic optimal control problem with delay (2012)
this work references cited by second hop

References

  • 1993Markov Models & Optimization861 cited
  • 1995Optimization of the flow of dividends320 cited
  • 1993Impulse Control Method and Exchange Rate270 cited
  • 1983Impulse Control of Brownian Motion234 cited
  • 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time186 cited
  • 1999Optimal Central Bank Intervention in the Foreign Exchange Market167 cited
  • 1991A simplified treatment of the theory of optimal regulation of Brownian motion147 cited
  • 1999Some applications of impulse control in mathematical finance132 cited
  • 1994Markov models and optimization.105 cited
  • 1990Stochastic Analysis and Related Topics II68 cited
  • 2002Time-to-build and capacity choice56 cited
  • 2000Consumption-investment problems with transaction costs: Survey and open problems44 cited
  • 1999Stochastic Control Problems where Small Intervention Costs Have Big Effects37 cited

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