Pages that link to "Item:Q2572401"
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The following pages link to Some remarks on first passage of Lévy processes, the American put and pasting principles (Q2572401):
Displaying 50 items.
- Suprema of Lévy processes (Q373557) (← links)
- Optimal stopping problems for the maximum process with upper and lower caps (Q389066) (← links)
- Meromorphic Lévy processes and their fluctuation identities (Q433907) (← links)
- Optimal stopping problems for some Markov processes (Q433913) (← links)
- Nonparametric tests for pathwise properties of semimartingales (Q453304) (← links)
- Games of singular control and stopping driven by spectrally one-sided Lévy processes (Q468726) (← links)
- Technological advances and the decision to invest (Q470669) (← links)
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models (Q496121) (← links)
- The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process (Q544519) (← links)
- Control of dams using \(P^M_{\lambda,\tau}\) policies when the input process is a nonnegative Lévy process (Q655232) (← links)
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes (Q657695) (← links)
- American options: the EPV pricing model (Q665543) (← links)
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk (Q748309) (← links)
- Sequential testing of simple hypotheses about compound Poisson processes (Q860706) (← links)
- Optimal stopping made easy (Q878006) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- The integral option in a model with jumps (Q952844) (← links)
- Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping (Q957523) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- A note on pasting conditions for the American perpetual optimal stopping problem (Q1003793) (← links)
- Optimal payout policy in presence of downside risk (Q1014300) (← links)
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models (Q1617121) (← links)
- American options under periodic exercise opportunities (Q1650302) (← links)
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms (Q1669250) (← links)
- Occupation times of general Lévy processes (Q1692245) (← links)
- Multidimensional investment problem (Q1702880) (← links)
- The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting (Q1708974) (← links)
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance (Q1724420) (← links)
- Analytical solution for an investment problem under uncertainties with shocks (Q1751925) (← links)
- Two-sided optimal stopping for Lévy processes (Q2064841) (← links)
- Investments with declining cost following a Lévy process (Q2079415) (← links)
- An optimal stopping problem for spectrally negative Markov additive processes (Q2145820) (← links)
- Regulation of a single-server queue with customers who dynamically choose their service durations (Q2167919) (← links)
- The Leland-Toft optimal capital structure model under Poisson observations (Q2211349) (← links)
- Bottleneck options (Q2255011) (← links)
- Predicting the time at which a Lévy process attains its ultimate supremum (Q2255610) (← links)
- Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (Q2258121) (← links)
- On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models (Q2274283) (← links)
- The disorder problem for purely jump Lévy processes with completely monotone jumps (Q2301057) (← links)
- Optimal stopping problems in Lévy models with random observations (Q2334743) (← links)
- A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (Q2347464) (← links)
- Lévy risk model with two-sided jumps and a barrier dividend strategy (Q2427836) (← links)
- A capped optimal stopping problem for the maximum process (Q2439470) (← links)
- Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time (Q2441319) (← links)
- Exit problems in regime-switching models (Q2469551) (← links)
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
- On infinite horizon optimal stopping of general random walk (Q2483012) (← links)
- The optimal stopping problem concerned with ultimate maximum of a Lévy process (Q2513223) (← links)
- Optimal sequential testing for an inverse Gaussian process (Q2805606) (← links)
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary (Q2806358) (← links)
