The following pages link to (Q4386544):
Displaying 42 items.
- Integro-PDE in Hilbert spaces: existence of viscosity solutions (Q345036) (← links)
- Abel-type results for controlled piecewise deterministic Markov processes (Q513387) (← links)
- 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)
- Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem (Q1729834) (← 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)
- Monotone systems involving variable-order nonlocal operators (Q2075303) (← links)
- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE (Q2127692) (← links)
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets (Q2155853) (← links)
- Periodic solutions of stochastic functional differential equations with jumps via viability (Q2172794) (← 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)
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations (Q2299580) (← links)
- On the controller-stopper problems with controlled jumps (Q2318101) (← links)
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (Q2354152) (← links)
- Integro-partial differential equations with singular terminal condition (Q2357187) (← 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)
- Optimal stopping problem for jump-diffusion processes with regime-switching (Q2665293) (← links)
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE (Q2685272) (← links)
- Rational inattention when decisions take time (Q2685869) (← links)
- Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
- PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (Q3069960) (← links)
- Iterative Path Integral Approach to Nonlinear Stochastic Optimal Control Under Compound Poisson Noise (Q5270485) (← links)
- Mean field control and finite agent approximation for regime-switching jump diffusions (Q6166349) (← links)
- Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary (Q6490239) (← links)
