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Stochastic Impulse Control of Non-Markovian Processes
16 references·1 citing·31 second hop
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References

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  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
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  • 2004European option pricing and hedging with both fixed and proportional transaction costs

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64 cited
  • 2004Stochastic Forest Stand Value and Optimal Timber Harvesting47 cited
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    • 2013BSDE representations for optimal switching problems with controlled volatility22 cited