Optimality of Refraction Strategies for Spectrally Negative Lévy Processes (Q2807401): Difference between revisions

@@ Property / author @@
+José Luis Pérez Garmendia
@@ Property / author: José Luis Pérez Garmendia / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03496
@@ Property / arXiv ID: 1504.03496 / rank @@
+Normal rank
@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+On the optimal dividend problem for a spectrally negative Lévy process
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+Optimal impulse control for cash management with quadratic holding-penalty costs
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@@ Property / cites work @@
+Optimality of doubly reflected Lévy processes in singular control
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@@ Property / cites work @@
+ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
@@ Property / cites work: ON OPTIMAL DIVIDENDS IN THE DUAL MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Optimality of an $(s,S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach
+Normal rank
@@ Property / cites work @@
+Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
+Normal rank
@@ Property / cites work @@
+Smoothness of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
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@@ Property / cites work @@
+Phase-type Fitting of scale functions for spectrally negative Lévy processes
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@@ Property / cites work @@
+Games of singular control and stopping driven by spectrally one-sided Lévy processes
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@@ Property / cites work @@
+Impulse Control Method and Exchange Rate
@@ Property / cites work: Impulse Control Method and Exchange Rate / rank @@
+Normal rank
@@ Property / cites work @@
+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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@@ Property / cites work @@
+Fluctuations of Lévy processes with applications. Introductory lectures
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@@ Property / cites work @@
+Refracted Lévy processes
@@ Property / cites work: Refracted Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
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+Optimal stochastic intervention control with application to the exchange rate
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+A Solvable One-Dimensional Model of a Diffusion Inventory System
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+Inventory Control for Spectrally Positive Lévy Demand Processes
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@@ Property / OpenAlex ID @@
+W2963610185
@@ Property / OpenAlex ID: W2963610185 / rank @@
+Normal rank