Multidimensional investment problem
DOI10.1007/S11579-017-0195-YzbMATH Open1404.91255OpenAlexW2742332334MaRDI QIDQ1702880FDOQ1702880
Authors: Sören Christensen, Paavo Salminen 
Publication date: 1 March 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0195-y
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integral equationdualitygeometric Brownian motionconvex setAmerican put optionresolvent kerneloptimal investment problemintegral representation of excessive function
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (6)
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- A general framework for optimal stopping problems with two risk factors and real option applications
- Optimal execution with multiplicative price impact and incomplete information on the return
- On an irreversible investment problem with two-factor uncertainty
- Continuity of the optimal stopping boundary for two-dimensional diffusions
- On optimal stopping of multidimensional diffusions
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