The following pages link to (Q4386544):
Displayed 25 items.
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (Q535333) (← links)
- Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727) (← links)
- Optimal selling rule in a regime switching Lévy market (Q638071) (← links)
- On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes (Q708865) (← links)
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (Q734661) (← links)
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate (Q836062) (← links)
- A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations (Q850174) (← links)
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited (Q930019) (← links)
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670) (← links)
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
- Optimal stochastic impulse control with delayed reaction (Q1021256) (← links)
- Singular risk-neutral valuation equations (Q1761441) (← links)
- Continuous dependence estimates for viscosity solutions of integro-PDEs (Q1779287) (← links)
- A penalty method for American options with jump diffusion processes (Q1889909) (← links)
- Uniqueness for integro-PDE in Hilbert spaces (Q1935429) (← links)
- Regularity results for fully nonlinear integro-differential operators with nonsymmetric positive kernels: subcritical case (Q1935438) (← links)
- The critical price for the American put in an exponential Lévy model (Q2271721) (← links)
- Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations (Q2276344) (← links)
- On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations (Q2438813) (← links)
- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions (Q2444215) (← links)
- Obstacle problem for nonlinear integro-differential equations arising in option pricing (Q2467933) (← links)
- On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients (Q2490005) (← links)
- PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (Q3069960) (← links)
- RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (Q3650925) (← links)