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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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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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 - Universitext ◽

10.1007/3-540-26441-8_4 ◽

2005 ◽

pp. 59-70

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Jump Diffusions

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On singular stochastic control and optimal stopping of spectrally negative jump diffusions

Stochastics ◽

10.1080/17442500802215037 ◽

2009 ◽

Vol 81 (1) ◽

pp. 55-78 ◽

Cited By ~ 2

Author(s):

Luis H.R. Alvarez ◽

Teppo A. Rakkolainen

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control ◽

Jump Diffusions ◽

Negative Jump

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Connections between optimal stopping and singular stochastic control

Stochastic Processes and their Applications ◽

10.1016/s0304-4149(98)00049-0 ◽

1998 ◽

Vol 77 (2) ◽

pp. 253-281 ◽

Cited By ~ 37

Author(s):

Frederik Boetius ◽

Michael Kohlmann

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

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Bernt Øksendal and Agnès Sulem (2005) applied stochastic control of jump diffusions ISBN 3-540-14023-9, Springer Berlin

Mathematical Methods of Operations Research ◽

10.1007/s00186-005-0017-5 ◽

2005 ◽

Vol 62 (2) ◽

pp. 345-346

Author(s):

Gerhard-Wilhelm Weber

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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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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Stochastic Control for Jump Diffusions

Stochastic Modeling and Control ◽

10.5772/45719 ◽

2012 ◽

Author(s):

Jingtao Shi

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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Applied Stochastic Control of Jump Diffusions

10.1007/978-3-540-69826-5 ◽

2007 ◽

Cited By ~ 301

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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Applied Stochastic Control of Jump Diffusions

10.1007/b137590 ◽

2005 ◽

Cited By ~ 3

Keyword(s):

Stochastic Control ◽

Jump Diffusions

Download Full-text