In this note we study optimal consumption problem and optimal stopping problem both associated with (1-dimensional) jump-diffusion. Methods employed are stochastic calcu-lus of jump type, Hamilton-Jacobi inequality, Bellman principle, the notion of viscosity solution and some classical calculus associated with positive maxmal principle
The value function of an optimal stopping problem for jump diffusions is known to be a generalized s...
This paper examines an optimal stopping problem for the stochastic (Wiener-Poisson) jump diffusion l...
In this paper we present a solution to a second order differential–difference equation that occurs i...
This thesis analyzes a class of impulse control problems for multi-dimensional jump diffusions in a ...
In this paper we present closed form solutions of some discounted optimal stopping problems for the ...
We present solutions to some discounted optimal stopping problems for the maximum process in a model...
In this paper a simple of combined singular stochastic control and optimal stopping in the jump-diff...
The main purpose of the book is to give a rigorous introduction to the most important and useful sol...
We present solutions to some discounted optimal stopping problems for the maximum process in a model...
Abstract. A new approach to the solution of optimal stopping problems for one-dimensional diffusions...
AbstractWe consider an optimal control problem for an Itô diffusion and a related stopping problem. ...
We study stochastic differential games of jump diffusions driven by Brownian motions and compensated...
We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient con...
A computational solution is found for a optimal consumption and portfolio policy problem in which th...
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffu...
The value function of an optimal stopping problem for jump diffusions is known to be a generalized s...
This paper examines an optimal stopping problem for the stochastic (Wiener-Poisson) jump diffusion l...
In this paper we present a solution to a second order differential–difference equation that occurs i...
This thesis analyzes a class of impulse control problems for multi-dimensional jump diffusions in a ...
In this paper we present closed form solutions of some discounted optimal stopping problems for the ...
We present solutions to some discounted optimal stopping problems for the maximum process in a model...
In this paper a simple of combined singular stochastic control and optimal stopping in the jump-diff...
The main purpose of the book is to give a rigorous introduction to the most important and useful sol...
We present solutions to some discounted optimal stopping problems for the maximum process in a model...
Abstract. A new approach to the solution of optimal stopping problems for one-dimensional diffusions...
AbstractWe consider an optimal control problem for an Itô diffusion and a related stopping problem. ...
We study stochastic differential games of jump diffusions driven by Brownian motions and compensated...
We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient con...
A computational solution is found for a optimal consumption and portfolio policy problem in which th...
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffu...
The value function of an optimal stopping problem for jump diffusions is known to be a generalized s...
This paper examines an optimal stopping problem for the stochastic (Wiener-Poisson) jump diffusion l...
In this paper we present a solution to a second order differential–difference equation that occurs i...