A new approach to the skorohod problem, and its applications
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Publication:3971876
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Cites work
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
- scientific article; zbMATH DE number 3390061 (Why is no real title available?)
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- On optimal stopping and free boundary problems
- Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
- Optimal Stopping and the American Put
- Optimal Stopping of a Markov Process
- Optimal stopping problems for Brownian motion
- Probabilistic aspects of finite-fuel stochastic control
Cited in
(30)- Approximating diffusion reflections at elastic boundaries
- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- Variational inequalities and the pricing of American options
- scientific article; zbMATH DE number 5244708 (Why is no real title available?)
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
- A Class of Solvable Stochastic Investment Problems Involving Singular Controls
- On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
- Expected supremum representation of the value of a singular stochastic control problem
- The Skorohod oblique reflection problem in time-dependent domains
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- The Skorokhod problem in a time-dependent interval
- A nonconvex singular stochastic control problem and its related optimal stopping boundaries
- Nonparametric estimation of American options' exercise boundaries and call prices
- Reflection between two conjugate diffusions
- An optimal extraction problem with price impact
- On the optimal stopping problem for one-dimensional diffusions.
- Singular optimal controls for stochastic recursive systems under convex control constraint
- Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
- Connections between optimal stopping and singular stochastic control
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- Continuous-time public good contribution under uncertainty: a stochastic control approach
- Irreversible investment in oligopoly
- Optimal stopping problem in a model with compensated refusal of reward
- scientific article; zbMATH DE number 4194548 (Why is no real title available?)
- THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1
- The heat equation and reflected Brownian motion in time-dependent domains.
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- Solving singular control from optimal switching
- An optimal dividend problem with capital injections over a finite horizon
- Mean-field games of finite-fuel capacity expansion with singular controls
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