Resolvent-techniques for multiple exercise problems
From MaRDI portal
Publication:2340991
DOI10.1007/s00245-014-9254-4zbMath1356.60066arXiv1309.7210OpenAlexW2020688966MaRDI QIDQ2340991
Sören Christensen, Jukka Lempa
Publication date: 21 April 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.7210
diffusion processresolvent operatorLévy processoptimal multiple stoppingstochastic impulse controlstrong Markov processes
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
Related Items (4)
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Meromorphic Lévy processes and their fluctuation identities
- Dual pricing of multi-exercise options under volume constraints
- Refracted Lévy processes
- A dual approach to multiple exercise option problems under constraints
- On optimal timing of investment when cost components are additive and follow geometric diffusions
- Optimal time to invest when the price processes are geometric Brownian motions
- Reward functionals, salvage values, and optimal stopping
- Optimal stopping and perpetual options for Lévy processes
- A pure martingale dual for multiple stopping
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- Optimal stopping with random exercise lag
- Optimal stopping of strong Markov processes
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Optimal stopping with information constraint
- On the solution of general impulse control problems using superharmonic functions
- Introductory lectures on fluctuations of Lévy processes with applications.
- Russian and American put options under exponential phase-type Lévy models.
- Optimal Multiple Stopping with Random Waiting Times
- Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
- Inventory Control for Spectrally Positive Lévy Demand Processes
- A harmonic function technique for the optimal stopping of diffusions
- Optimal Multiple Stopping of Linear Diffusions
- On impulsive control with long run average cost criterion
- General tax Structures and the Lévy Insurance Risk Model
- Optimal stopping of Hunt and Lévy processes
- Optimal Stopping of One-Dimensional Diffusions
- Optimal Stopping of Regular Diffusions under Random Discounting
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
- Optimal Time to Exchange Two Baskets
- Optimal Stopping Rules
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Markov Processes, Brownian Motion, and Time Symmetry
This page was built for publication: Resolvent-techniques for multiple exercise problems
