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On singular stochastic control problems for diffusion with jumps
10 references·3 citing·33 second hop
On singular stochastic control problems for diffusion with jumps (1984)On singular stochastic control problems f…A class of singular stochastic control problems (2006)A class of singular stochasti…On Some Cheap Control Problems for Diffusion Processes (1983)On Some Cheap Control Problem…A class of singular stochastic control problems (1983)A class of singular stochasti…The monotone follower problem in stochastic decision theory (1981)The monotone follower problem…Some solvable stochastic control problemst† (1980)Some solvable stochastic cont…On the Optimal Stopping Time Problem for Degenerate Diffusions (1980)On the Optimal Stopping Time …Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesContrôle impulsionnel des processus de Markov (1978)Contrôle impulsionnel des pro…On a Non-Linear Semi-Group Attached to Stochastic Optimal Control (1976)On a Non-Linear Semi-Group At…Stochastic Differential Equations (1972)Stochastic Differential Equat…Singular ergodic control for multidimensional Gaussian processes (1992)Singular ergodic control for …Optimal impulse control problems for degenerate diffusions with jumps (1987)Optimal impulse control probl…A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations (1987)A maximal inequality for stoc…On the Optimal Impulse Control Problem for Degenerate Diffusions (1980)Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay (2010)A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis (2014)Control of a Solution of a Stochastic Integral Equation (1972)On the Hamilton-Jacobi-Bellman equations (1983)Martingale methods in stochastic control (2005)A dual characterization of self-generation and exponential forward performances (2009)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Average Optimal Singular Control and a Related Stopping Problem (1985)Connections between optimal stopping and singular stochastic control (1998)Un Cours sur les Intégrales Stochastiques (2002)Stochastic Differential Equations and Applications (1976)Stochastic Differential Equations and Diffusion Processes (1983)Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem (1989)Irreversible investment and industry equilibrium (1996)Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems (2001)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Singular control problems in bounded intervals (1987)A free boundary problem related to singular stochastic control: the parabolic case (1991)On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)Instantaneous Control of Brownian Motion (1983)Risk vs. profit potential: A model for corporate strategy (1996)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Zero-sum Markov games with stopping and impulsive strategies (1982)Optimal correction problem of a multidimensional stochastic system (1989)Optimality conditions for impulsive control of piecewise-deterministic processes (1992)Additive Control of Stochastic Linear Systems with Finite Horizon (1985)Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems (1985)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Rational Momentum Effects (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)
this work references cited by second hop

References

  • 1980Controlled Diffusion Processes1,311 cited
  • 1972Stochastic Differential Equations977 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 2006A class of singular stochastic control problems145 cited
  • 1983A class of singular stochastic control problems128 cited
  • 1981The monotone follower problem in stochastic decision theory74 cited
  • 1983On Some Cheap Control Problems for Diffusion Processes68 cited
  • 1976On a Non-Linear Semi-Group Attached to Stochastic Optimal Control67 cited
  • 1978Contrôle impulsionnel des processus de Markov59 cited
  • 1980On the Optimal Stopping Time Problem for Degenerate Diffusions48 cited

Cited by

  • 1992Singular ergodic control for multidimensional Gaussian processes28 cited
  • 1987A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations28 cited
  • 1987Optimal impulse control problems for degenerate diffusions with jumps24 cited

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