Impulse control and expected suprema (Q5233166): Difference between revisions

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+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+A class of solvable impulse control problems
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+Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
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+Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
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+On the solution of general impulse control problems using superharmonic functions
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+Optimal stopping of strong Markov processes
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+Markov Processes, Brownian Motion, and Time Symmetry
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+Optimal stopping problems for some Markov processes
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+On the Lambert \(w\) function
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+Optimal Stopping for Processes with Independent Increments, and Applications
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+A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
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+Optimal portfolio policies under fixed and proportional transaction costs
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+Some applications of impulse control in mathematical finance
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+On the Novikov-Shiryaev optimal stopping problems in continuous time
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+Optimal stopping and perpetual options for Lévy processes
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+Optimal stopping of Hunt and Lévy processes
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+Optimal stochastic intervention control with application to the exchange rate
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+On an Effective Solution of the Optimal Stopping Problem for Random Walks
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+On a solution of the optimal stopping problem for processes with independent increments
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+Applied stochastic control of jump diffusions
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+Optimal stopping, Appell polynomials, and Wiener–Hopf factorization
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+On impulsive control with long run average cost criterion
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+An approach for solving perpetual optimal stopping problems driven by Lévy processes
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+The stochastic rotation problem: A generalization of Faustmann's formula to stochastic forest growth
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