SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Principle of smooth fit and diffusions with angles
11 references·1 citing·41 second hop
Principle of smooth fit and diffusions with angles (2007)Principle of smooth fit and diffusions wi…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Some remarks on first passage…On the optimal stopping problem for one-dimensional diffusions (2003)On the optimal stopping probl…Reward functionals, salvage values, and optimal stopping (2001)Reward functionals, salvage v…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Viscosity solutions of optimal stopping problems (1998)Viscosity solutions of optima…Local Times, Optimal Stopping and Semimartingales (1993)Local Times, Optimal Stopping…The High Contact Principle as a Sufficiency Condition for Optimal Stopping (1990)The High Contact Principle as…Optimal Stopping of One-Dimensional Diffusions (1985)Optimal Stopping of One-Dimen…On optimal stopping and free boundary problems (1976)On optimal stopping and free …Optimal stopping problems for Brownian motion (1970)Optimal stopping problems for…Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions (2013)Explicit solutions in one-sid…Ruin Probabilities (2000)Financial Modelling with Jump Processes (2003)Lévy Processes in Finance (2003)Integro-differential equations for option prices in exponential Lévy models (2005)Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes (2011)Exit problems for jump processes with applications to dividend problems (2012)Stochastic Differential Equations: An Introduction with Applications. (1987)Optimal prediction of the ultimate maximum of Brownian motion (2003)Perpetual Convertible Bonds (2004)Controlled Markov Processes and Viscosity Solutions (2005)Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes (2009)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Brownian Motion and Stochastic Calculus (2007)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)Optimal Stopping in a Markov Process (1968)An optimal stopping problem with linear reward (1974)A class of singular stochastic control problems (1983)Singular stochastic control and optimal stopping (1987)Evaluating Natural Resource Investments (1985)A class of solvable singular stochastic control problems (1999)A Model for Investments in the Natural Resource Industry with Switching Costs (2001)A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping (2003)Stochastic Differential Equations (2003)Theory of rational option pricing (2005)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)A Class of Solvable Impulse Control Problems (2004)Stochastic Forest Stand Value and Optimal Timber Harvesting (2004)Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream (2010)A Barrier Option of American Type (2000)On the properties of $r$-excessive mappings for a class of diffusions (2003)Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)ON THE AMERICAN OPTION PROBLEM (2005)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)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 2003On the optimal stopping problem for one-dimensional diffusions235 cited
  • 2005Some remarks on first passage of Lévy processes, the American put and pasting principles206 cited
  • 1985Optimal Stopping of One-Dimensional Diffusions105 cited
  • 2001Reward functionals, salvage values, and optimal stopping82 cited
  • 1990The High Contact Principle as a Sufficiency Condition for Optimal Stopping68 cited
  • 1998Viscosity solutions of optimal stopping problems57 cited
  • 1970Optimal stopping problems for Brownian motion50 cited
  • 1993Local Times, Optimal Stopping and Semimartingales39 cited

Cited by

  • 2013Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions22 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work