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On the Continuity of Stochastic Exit Time Control Problems
5 references·0 citing·17 second hop
On the Continuity of Stochastic Exit Time Control Problems (2010)On the Continuity of Stochastic Exit Time…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Numerical Methods for Stochas…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesMultiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)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)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Information Quality and Long‐Run Risk: Asset Pricing Implications (2010)Investment Shocks and Asset Prices (2011)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2001Numerical Methods for Stochastic Control Problems in Continuous Time654 cited

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