scientific article; zbMATH DE number 1147065
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Publication:4386544
zbMATH Open0899.60039MaRDI QIDQ4386544FDOQ4386544
Authors: Huyên Pham
Publication date: 29 April 1998
Title of this publication is not available (Why is that?)
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Cauchy problemcomparison principlesintegro-differential variational inequalityoptimal stopping time problem
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- On the controller-stopper problems with controlled jumps
- Stochastic targets with mixed diffusion processes and viscosity solutions.
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem
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- Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
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- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
- Stochastic control problem with stopping time under jump-diffusion model
- Applied stochastic control of jump diffusions.
- Mean field control and finite agent approximation for regime-switching jump diffusions
- Time-symmetric optimal stochastic control problems in space-time domains
- Rational inattention when decisions take time
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- Iterative path integral approach to nonlinear stochastic optimal control under compound Poisson noise
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
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- Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear Lévy(-type) processes
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- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
- Impulse control of multidimensional jump diffusions in finite time horizon
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
- Optimal stopping problem associated with jump-diffusion processes
- The critical price for the American put in an exponential Lévy model
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
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- Integro-partial differential equations with singular terminal condition
- Pricing Asian options for jump diffusion
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Periodic solutions of stochastic functional differential equations with jumps via viability
- Viscosity solutions for controlled McKean-Vlasov jump-diffusions
- The viability property of controlled jump diffusion processes
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
- Optimal stopping problem for jump-diffusion processes with regime-switching
- Risk indifference pricing in jump diffusion markets
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- A penalty method for American options with jump diffusion processes
- Optimal selling rule in a regime switching Lévy market
- Abel-type results for controlled piecewise deterministic Markov processes
- Obstacle problem for nonlinear integro-differential equations arising in option pricing
- Monotone systems involving variable-order nonlocal operators
- Optimal stochastic impulse control with delayed reaction
- Nonlinear PDE approach to time-inconsistent optimal stopping
- Uniqueness for integro-PDE in Hilbert spaces
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