Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/110854205
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1. On the Dirichlet problem for second-order elliptic integro-differential equations
2. Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
3. Regularity of the Optimal Stopping Problem for Jump Diffusions
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