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  • Search: subject:"a change-of-variable formula with local time on surfaces"
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a change-of-variable formula with local time on surfaces 3 Brownian motion 2 Discounted optimal stopping problem 2 maximum process 2 normal reflection 2 American lookback option problem 1 Bayes-Statistik 1 Bayesian inference 1 Bayesian switching multiple disorder problem 1 Heun’s double confluent function 1 Markov chain 1 Markov-Kette 1 Mathematical programming 1 Mathematische Optimierung 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 a nonlinear Volterra integral equation of the second kind 1 boundary surface 1 compound Poisson process 1 continuous and smooth fit 1 continuous-time Markov chain 1 coupled parabolic-type free-boundary problem 1 diffusion process 1 finite horizon 1 geometric Brownian motion 1 integro-differential free-boundary problem 1 optimal switching problem 1 parabolic free-boundary problem 1 perpetual lookback American options 1 smooth fit 1
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Book / Working Paper 2 Article 1
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2 Undetermined 1
Author
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Gapeev, Pavel V. 3
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2
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SFB 649 Discussion Papers 2 Mathematics of operations research 1
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Bayesian switching multiple disorder problems
Gapeev, Pavel V. - In: Mathematics of operations research 41 (2016) 3, pp. 1108-1124
Persistent link: https://www.econbiz.de/10011520840
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Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes
Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
and smooth fit, normal reflection, a change-of-variable formula with local time on surfaces, perpetual lookback American …(4) (1614–1640). [23] Peskir, G. (2004). A change-of-variable formula with local time on surfaces. Research Report No. 437, Dept …
Persistent link: https://www.econbiz.de/10005489963
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Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
kind, boundary surface, a change-of-variable formula with local time on surfaces, American lookback option problem. 1 [22 …. (2004). A change-of-variable formula with local time on surfaces. Research Report No. 437, Dept. Theoret. Statist. Aarhus …
Persistent link: https://www.econbiz.de/10005677895
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