scientific article; zbMATH DE number 1147065

From MaRDI portal
Publication:4386544

zbMath0899.60039MaRDI QIDQ4386544

Huyên Pham

Publication date: 29 April 1998


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Parallel search for information in continuous time -- optimal stopping and geometry of the PDE, Time-symmetric optimal stochastic control problems in space-time domains, The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate, A penalty method for American options with jump diffusion processes, A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations, Optimal reinsurance and investment under common shock dependence between financial and actuarial markets, Integro-PDE in Hilbert spaces: existence of viscosity solutions, Periodic solutions of stochastic functional differential equations with jumps via viability, Optimal stopping problem for jump-diffusion processes with regime-switching, Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type, Uniqueness for integro-PDE in Hilbert spaces, Regularity results for fully nonlinear integro-differential operators with nonsymmetric positive kernels: subcritical case, A finite elements approach for spread contract valuation via associated two-dimensional PIDE, Rational inattention when decisions take time, Mean field control and finite agent approximation for regime-switching jump diffusions, Optimal selling rule in a regime switching Lévy market, On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations, The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions, On Kolmogorov equations for anisotropic multivariate Lévy processes, Second-order elliptic integro-differential equations: viscosity solutions' theory revisited, Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients, Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem, Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions, Obstacle problem for nonlinear integro-differential equations arising in option pricing, Abel-type results for controlled piecewise deterministic Markov processes, Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions, Singular risk-neutral valuation equations, On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients, Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes, The critical price for the American put in an exponential Lévy model, Continuous dependence estimates for viscosity solutions of integro-PDEs, Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations, PRICING ASIAN OPTIONS FOR JUMP DIFFUSION, Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions, Convergence in multiscale financial models with non-Gaussian stochastic volatility, Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations, Optimal stochastic impulse control with delayed reaction, On the controller-stopper problems with controlled jumps, RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS, Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes, Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing, Monotone systems involving variable-order nonlocal operators, Iterative Path Integral Approach to Nonlinear Stochastic Optimal Control Under Compound Poisson Noise, Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE, Integro-partial differential equations with singular terminal condition