On singular stochastic control and optimal stopping of spectrally negative jump diffusions-Reference-Cited by-同舟云学术

On singular stochastic control and optimal stopping of spectrally negative jump diffusions

Published:2009-01-28 Issue:1 Volume:81 Page:55-78
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Alvarez Luis H.R.¹,Rakkolainen Teppo A.¹

Affiliation:

1. a Department of Economics , Turku School of Economics , FIN-20500, Turku, Finland

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442500802215037

Reference28 articles.

1. Singular stochastic control in the presence of a state-dependent yield structure

2. A Class of Solvable Impulse Control Problems

3. L. Alvarez and T. Rakkolainen, A class of solvable optimal stopping problems of spectrally negative jump diffusions, Aboa Centre for Economics, Discussion Paper No. 9 (2006)

4. L.AlvarezT.Rakkolainen, Optimal dividend control in presence of downside risk, Aboa Centre for Economics, Discussion Paper No.14 (2007)

5. A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation

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3. The Relationship between the Stochastic Maximum Principle and the Dynamic Programming in Singular Control of Jump Diffusions;International Journal of Stochastic Analysis;2014-01-09