Zobrazeno 1 - 10
of 169
pro vyhledávání: '"smooth-fit property"'
Autor:
LAMBERTON, DAMIEN, MIKOU, MOHAMMED
Publikováno v:
Journal of Applied Probability, 2012 Mar 01. 49(1), 137-149.
Externí odkaz:
https://www.jstor.org/stable/41713756
Autor:
Pham, Huyen
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational ineq
Externí odkaz:
http://arxiv.org/abs/math/0410285
Kniha
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Autor:
Mohammed Adam Mikou, Damien Lamberton
Publikováno v:
Journal of Applied Probability
Journal of Applied Probability, 2012, 49 (1), pp.137-149
Journal of Applied Probability, Cambridge University press, 2012, 49 (1), pp.137-149
Journal of Applied Probability, Applied Probability Trust, 2012, 49 (1), pp.137-149
J. Appl. Probab. 49, no. 1 (2012), 137-149
Journal of Applied Probability, 2012, 49 (1), pp.137-149
Journal of Applied Probability, Cambridge University press, 2012, 49 (1), pp.137-149
Journal of Applied Probability, Applied Probability Trust, 2012, 49 (1), pp.137-149
J. Appl. Probab. 49, no. 1 (2012), 137-149
International audience; We study the smooth-fit property of the American put price with finite maturity in an exponential Lévy model when the underlying stock pays dividends at a continuous rate. As in the perpetual case, a regularity property is su
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8582125af791b39d434139c20f7592c7
https://hal.science/hal-00677327/document
https://hal.science/hal-00677327/document
Autor:
Huyên Pham
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783540711889
Séminaire de probabilités XL
C. Donati-Martin, M. Emery, A. Rouault, C. Stricker. Séminaire de probabilités XL, Springer, pp.187-199, 2007, Lecture Notes in Mathematics n°1899
Séminaire de probabilités XL
C. Donati-Martin, M. Emery, A. Rouault, C. Stricker. Séminaire de probabilités XL, Springer, pp.187-199, 2007, Lecture Notes in Mathematics n°1899
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational ineq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fbc08c0ed35cf15a395cf38e28b59c04
http://arxiv.org/abs/math/0410285
http://arxiv.org/abs/math/0410285
Publikováno v:
Risks, Vol 8, Iss 2, p 60 (2020)
The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank’s default time is a completely inaccessible random quantity generating its own fil
Externí odkaz:
https://doaj.org/article/7c93bf5cf5d74beca0a26691f1d3099a
Autor:
Morel, J.-M., Takens, F., Teissier, B., Donati-Martin, Catherine, Émery, Michel, Rouault, Alain, Stricker, Christophe, Huyen Pham
Publikováno v:
Seminaire de Probabilites XL; 2007, p187-199, 13p
Publikováno v:
The Annals of Applied Probability, 2008 Jun 01. 18(3), 1164-1200.
Externí odkaz:
https://www.jstor.org/stable/25442662
Publikováno v:
Risks
Volume 8
Issue 2
Risks, Vol 8, Iss 60, p 60 (2020)
Volume 8
Issue 2
Risks, Vol 8, Iss 60, p 60 (2020)
The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank&rsquo
s default time is a completely inaccessible random quantity generating it
s default time is a completely inaccessible random quantity generating it
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6cb16cb3451415a2bbacaa3f7730b232
Akademický článek
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