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Optimal Stopping of Jump Diffusions
Applied Stochastic Control of Jump Diffusions - Universitext
◽
10.1007/3-540-26441-8_2
◽
2005
◽
pp. 27-37
Keyword(s):
Optimal Stopping
◽
Jump Diffusions
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References
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Mathematical Methods of Operations Research
◽
10.1007/s00186-008-0282-1
◽
2009
◽
Vol 70
(3)
◽
pp. 505-525
◽
Cited By ~ 12
Author(s):
Erhan Bayraktar
◽
Hao Xing
Keyword(s):
Optimal Stopping
◽
American Options
◽
Jump Diffusions
◽
Optimal Stopping Problems
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Optimal stopping and stochastic control differential games for jump diffusions
Stochastics
◽
10.1080/17442508.2011.652116
◽
2012
◽
Vol 85
(1)
◽
pp. 85-97
◽
Cited By ~ 2
Author(s):
Fouzia Baghery
◽
Sven Haadem
◽
Bernt Øksendal
◽
Isabelle Turpin
Keyword(s):
Differential Games
◽
Stochastic Control
◽
Optimal Stopping
◽
Jump Diffusions
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Optimal Stopping of Jump Diffusions
Applied Stochastic Control of Jump Diffusions
◽
10.1007/978-3-540-69826-5_2
◽
2007
◽
pp. 27-44
Keyword(s):
Optimal Stopping
◽
Jump Diffusions
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Ambiguous Jump-Diffusions and Optimal Stopping
SSRN Electronic Journal
◽
10.2139/ssrn.2514032
◽
2014
◽
Author(s):
Svetlana Boyarchenko
◽
Sergei Levendorskii
Keyword(s):
Optimal Stopping
◽
Jump Diffusions
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Combined Optimal Stopping and Stochastic Control of Jump Diffusions
Applied Stochastic Control of Jump Diffusions - Universitext
◽
10.1007/978-3-030-02781-0_7
◽
2019
◽
pp. 211-223
Author(s):
Bernt Øksendal
◽
Agnès Sulem
Keyword(s):
Stochastic Control
◽
Optimal Stopping
◽
Jump Diffusions
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Combined Optimal Stopping and Stochastic Control of Jump Diffusions
Applied Stochastic Control of Jump Diffusions
◽
10.1007/978-3-540-69826-5_4
◽
2007
◽
pp. 65-76
Keyword(s):
Stochastic Control
◽
Optimal Stopping
◽
Jump Diffusions
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Regularity of the Optimal Stopping Problem for Jump Diffusions
SIAM Journal on Control and Optimization
◽
10.1137/100810915
◽
2012
◽
Vol 50
(3)
◽
pp. 1337-1357
◽
Cited By ~ 7
Author(s):
Erhan Bayraktar
◽
Hao Xing
Keyword(s):
Optimal Stopping
◽
Optimal Stopping Problem
◽
Jump Diffusions
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Combined Optimal Stopping and Stochastic Control of Jump Diffusions
Applied Stochastic Control of Jump Diffusions - Universitext
◽
10.1007/3-540-26441-8_4
◽
2005
◽
pp. 59-70
Keyword(s):
Stochastic Control
◽
Optimal Stopping
◽
Jump Diffusions
Download Full-text
Combined Optimal Stopping and Mixed Regular-Singular Control of Jump Diffusions
Journal of Mathematical Finance
◽
10.4236/jmf.2021.112010
◽
2021
◽
Vol 11
(02)
◽
pp. 190-205
Author(s):
Charles Kusaya
◽
Memory Mandiudza
◽
Nicholas Mwareya
◽
Confess Matete
◽
Leonard Shambira
◽
...
Keyword(s):
Optimal Stopping
◽
Singular Control
◽
Jump Diffusions
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A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
SIAM Journal on Control and Optimization
◽
10.1137/13090941x
◽
2014
◽
Vol 52
(4)
◽
pp. 2224-2249
◽
Cited By ~ 2
Author(s):
Luis H. R. Alvarez
◽
Pekka Matomäki
◽
Teppo A. Rakkolainen
Keyword(s):
Optimal Stopping
◽
Jump Diffusions
◽
Optimal Stopping Problems
◽
Negative Jump
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