scientific article; zbMATH DE number 1147065

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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• Optimal stopping problem associated with jump-diffusion processes
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zbMATH Keywords

Cauchy problemcomparison principlesintegro-differential variational inequalityoptimal stopping time problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (59)

• Duality in optimal consumption-investment problems with alternative data
• Principal-multiagents problem under equivalent changes of measure: general study and an existence result
• On large solutions for fractional Hamilton-Jacobi equations
• Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary
• 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
• Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes
• Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
• Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• On Kolmogorov equations for anisotropic multivariate Lévy processes
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
• Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
• On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations
• 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
• Continuous dependence estimates for viscosity solutions of integro-PDEs
• 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
• Convergence in multiscale financial models with non-Gaussian stochastic volatility
• Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations
• 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 reinsurance and investment under common shock dependence between financial and actuarial markets
• A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
• Singular risk-neutral valuation equations
• Title not available (Why is that?)
• 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
• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
• 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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