A General Verification Result for Stochastic Impulse Control Problems (Q2968551): Difference between revisions

@@ Property / cites work @@
+A class of solvable impulse control problems
@@ Property / cites work: A class of solvable impulse control problems / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Forest Stand Value and Optimal Timber Harvesting
+Normal rank
@@ Property / cites work @@
+On the Optimal Stochastic Impulse Control of Linear Diffusions
+Normal rank
@@ Property / cites work @@
+A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of Hamilton-Jacobi equations
@@ Property / cites work: Viscosity solutions of Hamilton-Jacobi equations / rank @@
+Normal rank
@@ Property / cites work @@
+On the Impulse Control of Jump Diffusions
@@ Property / cites work: On the Impulse Control of Jump Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Perron for stochastic target games
@@ Property / cites work: Stochastic Perron for stochastic target games / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Perron for stochastic target problems
@@ Property / cites work: Stochastic Perron for stochastic target problems / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case
+Normal rank
@@ Property / cites work @@
+Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games
+Normal rank
@@ Property / cites work @@
+Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs
+Normal rank
@@ Property / cites work @@
+Utility maximisation in a factor model with constant and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
+Normal rank
@@ Property / cites work @@
+Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
+Normal rank
@@ Property / cites work @@
+Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon
+Normal rank
@@ Property / cites work @@
+On the solution of general impulse control problems using superharmonic functions
+Normal rank
@@ Property / cites work @@
+Impulse control and expected suprema
@@ Property / cites work: Impulse control and expected suprema / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Q3136505
@@ Property / cites work: Q3136505 / rank @@
+Normal rank
@@ Property / cites work @@
+Impulse Control of Multidimensional Jump Diffusions
+Normal rank
@@ Property / cites work @@
+A model for investment decisions with switching costs.
+Normal rank
@@ Property / cites work @@
+Optimal Impulse Control of Portfolios
@@ Property / cites work: Optimal Impulse Control of Portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Impulse Control of Brownian Motion
@@ Property / cites work: Impulse Control of Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion
+Normal rank
@@ Property / cites work @@
+Optimal portfolio policies under fixed and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Impulse Control Method and Exchange Rate
@@ Property / cites work: Impulse Control Method and Exchange Rate / rank @@
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction To Viscosity Solutions for Fully Nonlinear PDE with Applications to Calculus of Variations in L∞
+Normal rank
@@ Property / cites work @@
+Backward SDEs with constrained jumps and quasi-variational inequalities
+Normal rank
@@ Property / cites work @@
+Portfolio optimisation with strictly positive transaction costs and impulse control
+Normal rank
@@ Property / cites work @@
+Some applications of impulse control in mathematical finance
+Normal rank
@@ Property / cites work @@
+On the Optimal Impulse Control Problem for Degenerate Diffusions
+Normal rank
@@ Property / cites work @@
+Optimal impulse control problems for degenerate diffusions with jumps
+Normal rank
@@ Property / cites work @@
+OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Optimal stochastic intervention control with application to the exchange rate
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3378055
@@ Property / cites work: Q3378055 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Perron's method for optimal control problems with state constraints
+Normal rank
@@ Property / cites work @@
+Verification by stochastic Perron's method in stochastic exit time control problems
+Normal rank
@@ Property / cites work @@
+A selection theorem for optimization problems
@@ Property / cites work: A selection theorem for optimization problems / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
+Normal rank
@@ Property / cites work @@
+Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games
+Normal rank
@@ Property / cites work @@
+Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control
+Normal rank
@@ Property / cites work @@
+Q3549439
@@ Property / cites work: Q3549439 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
+Normal rank
@@ Property / cites work @@
+The stochastic rotation problem: A generalization of Faustmann's formula to stochastic forest growth
+Normal rank