scientific article; zbMATH DE number 1147065
From MaRDI portal
Publication:4386544
zbMATH Open0899.60039MaRDI QIDQ4386544FDOQ4386544
Recommendations
Cited in
(59)- Singular risk-neutral valuation equations
- Time-symmetric optimal stochastic control problems in space-time domains
- Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem
- A penalty method for American options with jump diffusion processes
- Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear Lévy(-type) processes
- Regularity results for fully nonlinear integro-differential operators with nonsymmetric positive kernels: subcritical case
- Optimal selling rule in a regime switching Lévy market
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Nonlinear PDE approach to time-inconsistent optimal stopping
- scientific article; zbMATH DE number 3877054 (Why is no real title available?)
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
- The viability property of controlled jump diffusion processes
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
- On the controller-stopper problems with controlled jumps
- On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
- Applied stochastic control of jump diffusions.
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Monotone systems involving variable-order nonlocal operators
- Impulse control of multidimensional jump diffusions in finite time horizon
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
- A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
- Viscosity solutions for controlled McKean-Vlasov jump-diffusions
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
- On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations
- Rational inattention when decisions take time
- Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
- Optimal stopping problem for jump-diffusion processes with regime-switching
- Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
- Periodic solutions of stochastic functional differential equations with jumps via viability
- Mean field control and finite agent approximation for regime-switching jump diffusions
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Pricing Asian options for jump diffusion
- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
- Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations
- Convergence in multiscale financial models with non-Gaussian stochastic volatility
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- Uniqueness for integro-PDE in Hilbert spaces
- Stochastic targets with mixed diffusion processes and viscosity solutions.
- Stochastic control problem with stopping time under jump-diffusion model
- Iterative path integral approach to nonlinear stochastic optimal control under compound Poisson noise
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
- Optimal stopping problem associated with jump-diffusion processes
- Abel-type results for controlled piecewise deterministic Markov processes
- The critical price for the American put in an exponential Lévy model
- Risk indifference pricing in jump diffusion markets
- Integro-partial differential equations with singular terminal condition
- Optimal stochastic impulse control with delayed reaction
- Obstacle problem for nonlinear integro-differential equations arising in option pricing
- Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary
- Principal-multiagents problem under equivalent changes of measure: general study and an existence result
- Duality in optimal consumption-investment problems with alternative data
- On large solutions for fractional Hamilton-Jacobi equations
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 Q4386544)
