scientific article; zbMATH DE number 5016447
From MaRDI portal
Publication:3378055
zbMATH Open1115.60001MaRDI QIDQ3378055FDOQ3378055
Authors: Goran Peskir, Albert N. Shiryaev 
Publication date: 30 March 2006
Title of this publication is not available (Why is that?)
Recommendations
- Principles of optimal stopping and free-boundary problems
- On optimal stopping and free boundary problems under ambiguity
- scientific article; zbMATH DE number 3944962
- Optimal stopping problems under general restriction
- On approximative solutions of optimal stopping problems
- Optimal stopping problems with restricted stopping times
- The optimal stopping problem revisited
- Bounds for a constrained optimal stopping problem
- scientific article
free-boundary problemoptimal stopping problemmaximum processmaximal inequalitieslocal time-space calculusultimate maximumAmerican option problemsprinciples of smooth and continuous fitsequential testing and quickest disorder detection problems
Bayesian problems; characterization of Bayes procedures (62C10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free boundary problems for PDEs (35R35) Other nonlinear integral equations (45G10) Systems of nonlinear integral equations (45G15) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05) Optimal stopping in statistics (62L15)
Cited In (only showing first 100 items - show all)
- The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
- Quickest detection problems: fifty years later
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- On the regularity of American options with regime-switching uncertainty
- Optimal control of debt-to-GDP ratio in an \(N\)-state regime switching economy
- An excursion-theoretic approach to stability of discrete-time stochastic hybrid systems
- Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
- Optimality of Two-Parameter Strategies in Stochastic Control
- Optimal selling time in stock market over a finite time horizon
- From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
- Multidimensional investment problem
- Incomplete markets, ambiguity, and irreversible investment
- Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
- Bottleneck options
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Global solvability of a networked integrate-and-fire model of McKean-Vlasov type
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
- Optimal Skorokhod embedding under finitely many marginal constraints
- On sticky bookmaking as a learning device in horse-racing betting markets
- Optimal multiple stopping problem under nonlinear expectation
- Nonzero-sum games of optimal stopping for Markov processes
- Dynamic optimality in optimal variance stopping problems
- House-selling problem with reward rate criteria and changing costs
- Boundary evolution equations for American options
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- Monotonicity of the value function for a two-dimensional optimal stopping problem
- On the problem of optimal stopping for the composite Russian option
- An analytic formula for the price of an American-style Asian option of floating strike type
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Infinite horizon stopping problems with (nearly) total reward criteria
- Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
- Variance optimal stopping for geometric Lévy processes
- A quantitative modulus of continuity for the two-phase Stefan problem
- Optimal variance stopping with linear diffusions
- American step-up and step-down default swaps under Lévy models
- Optimal Stopping Rules
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- Approximating stochastic volatility by recombinant trees
- Title not available (Why is that?)
- Optimal prediction of resistance and support levels
- Sequential testing problems for Bessel processes
- An optimal stopping problem with a reward constraint
- Procrastination, self-imposed deadlines and other commitment devices
- On the existence of solutions of unbounded optimal stopping problems
- Sharp maximal inequalities for stochastic processes
- Optimal accelerated share repurchases
- A remark on optimal variance stopping problems
- The optimal stopping problem revisited
- Bayesian sequential testing with expectation constraints
- Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
- On predicting the maximum of a semimartingale and the optimal moment to sell a stock
- Optimal buying at the global minimum in a regime switching model
- Optimal stopping problem in a model with compensated refusal of reward
- On the Wiener disorder problem
- The obstacle problem for the \(p\)-Laplacian via optimal stopping of tug-of-war games
- Killed Brownian motion with a prescribed lifetime distribution and models of default
- Principle of smooth fit and diffusions with angles
- Optimal consumption/investment and retirement with necessities and luxuries
- Continuity of the optimal stopping boundary for two-dimensional diffusions
- On classical and restricted impulse stochastic control for the exchange rate
- Optimal payout policy in presence of downside risk
- Shortfall risk approximations for American options in the multidimensional Black-Scholes model
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- A zero-sum game between a singular stochastic controller and a discretionary stopper
- Burn-in for a time-transformed exponential model
- Semi-parametric estimation of American option prices
- A quickest detection problem with an observation cost
- Surrender contagion in life insurance
- A physics-informed learning approach to Bernoulli-type free boundary problems
- Quickest drift change detection in Lévy-type force of mortality model
- Optimal surrender time for a variable annuity with a fixed insurance fee
- Optimal finite horizon contract with limited commitment
- Partial liquidation under reference-dependent preferences
- Distribution‐constrained optimal stopping
- Optimal stopping of a Brownian bridge with an unknown pinning point
- The British lookback option with fixed strike
- An overview on deep learning-based approximation methods for partial differential equations
- Advanced simulation-based methods for optimal stopping and control. With applications in finance
- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
- Optimal multiple stopping problems under \(g\)-expectation
- Dynamic programming deconstructed: transformations of the Bellman equation and computational efficiency
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Pricing of American lookback spread options
- Bellman equations for terminal utility maximization with general bid and ask prices
- Two-armed restless bandits with imperfect information: stochastic control and indexability
- Executive stock option exercise with full and partial information on a drift change point
- Are American options European after all?
- On some impulse control problems with constraint
- Long-run risk-sensitive impulse control
- Risk sensitive optimal stopping
- Pricing American drawdown options under Markov models
- Constrained optimal stopping, liquidity and effort
- Detecting the presence of a random drift in Brownian motion
- Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
- Optimal stopping time of a portfolio selection problem with multi-assets
- On the lookback option with fixed strike
- Optimal stopping of oscillating Brownian motion
- Stopping with expectation constraints: 3 points suffice
- Martingale optimal transport with stopping
- On incentive compatibility in dynamic mechanism design with exit option in a Markovian environment
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3378055)
