Occupied processes: going with the flow
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Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on general state spaces (60J25) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites work
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- Viscosity Solutions for Obstacle Problems on Wasserstein Space
- Volatility is (mostly) path-dependent
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