Add to ORKGThis thesis deals with the solution of optimal stopping- and more general stochastic control problems for continuous time Markov processes. The focus lies on introducing new effective methods for solving different classes of problems explicitly
In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabi...
We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy proce...
Abstract. In this paper, we study an optimal singular stochastic control problem. By using a time tr...
This thesis deals with the solution of optimal stopping- and more general stochastic control problem...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
This paper considers the optimal stopping problem for continuous-time Markov processes. We describe ...
In this paper we study the well-know optimal stopping problem applied to a general family of continu...
In this thesis we consider optimal stopping problems for continuous-time Markov chains, evaluated un...
As a main step in the numerical solution of control problems in continuous time, the controlled proc...
As a main step in the numerical solution of control problems in continuous time, the controlled proc...
The present paper deals with an optimal stopping problem which permits the cost of obserbation in th...
Testing theorems are received for controlled diffusion processes with progressive and pulse equation...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
In this thesis, we study three separate problems, all of which relate to the optimal stopping and co...
In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabi...
We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy proce...
Abstract. In this paper, we study an optimal singular stochastic control problem. By using a time tr...
This thesis deals with the solution of optimal stopping- and more general stochastic control problem...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
This paper considers the optimal stopping problem for continuous-time Markov processes. We describe ...
In this paper we study the well-know optimal stopping problem applied to a general family of continu...
In this thesis we consider optimal stopping problems for continuous-time Markov chains, evaluated un...
As a main step in the numerical solution of control problems in continuous time, the controlled proc...
As a main step in the numerical solution of control problems in continuous time, the controlled proc...
The present paper deals with an optimal stopping problem which permits the cost of obserbation in th...
Testing theorems are received for controlled diffusion processes with progressive and pulse equation...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
In this thesis, we study three separate problems, all of which relate to the optimal stopping and co...
In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabi...
We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy proce...
Abstract. In this paper, we study an optimal singular stochastic control problem. By using a time tr...