On singular stochastic control and optimal stopping of spectrally negative jump diffusions
From MaRDI portal
Publication:3612253
DOI10.1080/17442500802215037zbMath1156.93036OpenAlexW2158578072MaRDI QIDQ3612253
Luis H. R. Alvarez, Teppo A. Rakkolainen
Publication date: 3 March 2009
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500802215037
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Diffusion processes (60J60)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- American options: the EPV pricing model
- Applied stochastic control of jump diffusions.
- A generalized impulse control model of cash management
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- Singular stochastic control in the presence of a state-dependent yield structure
- Optimal stopping and perpetual options for Lévy processes
- A class of solvable impulse control problems
- Optimal risk and dividend distribution control models for an insurance company
- Risk analysis for a stochastic cash manangement model with two type of customers
- Optimizing venture capital investments in a jump diffusion model
- A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Optimal stopping of Hunt and Lévy processes
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Pricing Perpetual Options for Jump Processes
This page was built for publication: On singular stochastic control and optimal stopping of spectrally negative jump diffusions
