Search Results - subject:"continuous and smooth fit"

Games of singular control and stopping driven by spectrally one-sided Lévy processes

Hernández-Hernández, Daniel; Yamazaki, Kazutoshi - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 1-38

We study a zero-sum game where the evolution of a spectrally one-sided Lévy process is modified by a singular controller and is terminated by the stopper. The singular controller minimizes the expected values of running, controlling and terminal costs while the stopper maximizes them. Using...

Persistent link: https://www.econbiz.de/10011077899

Perpetual barrier options in jump-diffusion models

Gapeev, Pavel V. - 2006

and smooth fit. The obtained solution of the nontrivial free-boundary problem gives the possibility to observe some … irregular optimal stopping problem to an integro-differential free-boundary problem and solving the latter by using continuous …

Persistent link: https://www.econbiz.de/10010263649

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 … problem, Brownian motion, compound Poisson pro- cess, maximum process, integro-differential free-boundary problem, continuous …

Persistent link: https://www.econbiz.de/10005489963

Perpetual Barrier Options in Jump-Diffusion Models

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Persistent link: https://www.econbiz.de/10005784840

On Maximal Inequalities for some Jump Processes

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

-differential free-boundary problem, normal reflection, continuous and smooth fit, maximality principle, maximal inequalities. 1 …

Persistent link: https://www.econbiz.de/10005784853