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)
Recommendations
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Cites work
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
- scientific article; zbMATH DE number 3088518 (Why is no real title available?)
- A harmonic function technique for the optimal stopping of diffusions
- A note on pasting conditions for the American perpetual optimal stopping problem
- Applied stochastic control of jump diffusions
- Bounds for the American perpetual put on a stock index
- Convex functions. Constructions, characterizations and counterexamples
- Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
- Markov Processes, Brownian Motion, and Time Symmetry
- Markov processes and Martin boundaries. I
- ON THE AMERICAN OPTION PROBLEM
- On optimal stopping of multidimensional diffusions
- On optimal timing of investment when cost components are additive and follow geometric diffusions
- On the optimal stopping problem for one-dimensional diffusions.
- Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
- Optimal Stopping Games for Markov Processes
- Optimal Stopping Rules
- Optimal Stopping of One-Dimensional Diffusions
- Optimal Stopping of Regular Diffusions under Random Discounting
- Optimal decision under ambiguity for diffusion processes
- Optimal stopping games and Nash equilibrium
- Optimal stopping of Hunt and Lévy processes
- Optimal stopping of strong Markov processes
- Optimal time to exchange two baskets
- Optimal time to invest when the price processes are geometric Brownian motions
- Quickest detection problems for Bessel processes
- Selling a stock at the ultimate maximum
- Sequential testing problems for Bessel processes
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Stochastic differential equations. An introduction with applications.
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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