ABSTRACTS
Luis Alvarez:
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
Katsunori Ano:
Optimal Stopping Problem with Uncertain Stopping and its Application to Discrete Options
Vadim Arkin:
A Variational Approach To An Optimal Stopping And Free-Boundary Problems
Erik Baurdoux:
The Shepp–Shiryaev stochastic game driven by a spectrally negative Lévy process
Ljudmila Bordag:
Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
Bruno Bouchard:
Optimal control under stochastic target contraints
F. Thomas Bruss:
Optimal Stopping with Two Types of Constraints
Sören Christensen:
On measure-changing-techniques for optimal stopping of diffusions
Tatjana Chudjakow:
The Best Choice Problem under Ambiguity
Savas Dayanik:
Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions
Freddy Delbaen:
Monetary time consistent utility functions
Boualem Djehiche:
Stochastic impulse control for non-Markov processes
Yan Dolinsky:
Applications of Weak Convergence for Hedging of American and Game Options
Jacques Du Toit:
A Sojourn Time Problem for Brownian Motion with Drift
Erik Ekström:
Optimal liquidation of a call spread
Pavel Gapeev:
Some optimal stopping problems in models with partial information
Kristoffer Glover:
Path Dependent British Options
Ilie Grigorescu:
Optimal Strategy for the Vardi Casino with Interest Payments
Kurt Helmes:
A linear programming method to derive optimal thinning strategies for classes of stochastic forest models
David Hobson:
Recovering a time-homogeneous price process from perpetual option prices
Yuri Kifer:
Perfect and Partial Hedging for Multiple Exercise (Swing) Game Options
Anna Krasnosielska:
Optimal stopping time problem with random lifetime
Andreas Kyprianou:
General tax structures and the Lévy insurance risk model
Jukka Lempa:
Optimal Timing with Poisson Clock
Hans Rudolf Lerche:
Generalized Parking Problems
Ronnie Loeffen:
De Finetti's dividend problem with absolutely continuous controls
Mike Ludkovski:
A Simulation Approach to Optimal Stopping under Partial Information
Robin Lundgren:
Optimal Stopping and Reselling of European Options
Koichi Matsumoto:
Simple Improvement Method of Upper Bound of American Options
Vladimir Mazalov:
Best-choice problem with disorder and imperfect information
Isaac Meilijson:
The expected diameter of an L^2-bounded martingale is attainably bounded from above by sqrt(3) times the standard deviation of the last term
Mohammed Mikou:
The smooth-fit principle of the American put price in the exponential Lévy model
Toru Nakai:
Properties of a Maintenance System on a Partially Observable Markov Process and an Optimal Stopping Problem
Juan Carlos Pardo:
The Gapeev-Kühn stochastic game driven by spectrally positive Lévy process
Adam Pasternak-Winiarski:
Optimal stopping of a risk process in a continuous-time disorder model
Jesper Lund Pedersen:
Some Non-standard Non-linear Optimal Stopping Problems
Goran Peskir:
The British Put-Call Symmetry
Huyên Pham:
Optimal portfolio liquidation with execution cost and risk
Ernst Presman:
Modification of Sonin's algorithm for optimal stopping of Markov chain
David Ramsey:
Mutual Mate Choice with Multiple Criteria
Nasir Rehman:
American Foreign Exchange Option in Time-Dependent One-Dimensional Diffusion Model for Exchange Rate
Benoîte de Saporta:
Numerical method for optimal stopping of piecewise deterministic Markov processes
Jennifer Sexton:
Optimal Portfolio Selection in Carbon Emissions Market
Larry Shepp:
How To Gamble If You Must (and if you really hate to gamble)
Albert Shiryaev:
TBA
Isaac M. Sonin:
The Optimal Stopping of "Seasonal" Observations and the Game of "Seasonal" Stopping
Constantine Steinberg:
Continue, Stop, Restart Probability Model
Richard Stockbridge:
A Novel Analysis of Entry-and-Exit Investment Decisions
Krzysztof Szajowski:
On optimal stopping of risk process
Mitsushi Tamaki:
Optimal Choice of the Best Available Applicant in the Full-Information Models with Uncertain Selection
Kees Van Schaik:
On the McKean optimal stopping game driven by a spectrally negative Lévy process
Stephane Villeneuve:
On the modelling of Debt Maturity and Endogenous Default: A caveat
Jörg Vorbrink:
Exercise Strategies for American Exotic Options under Ambiguity
Peter Windridge:
Minimising the Time to a Majority Decision
Hao Xing:
On the Optimal Stopping Problems for Lévy Processes
Mingxin Xu:
Infinite Horizon Optimal Search Problem with Hiring and Firing Options
Mihail Zervos:
π options
Cun-Hui Zhang:
Primitive casinos in the presence of inflation
Bernt Øksendal:
Optimal stopping and stochastic control differential games for jump diffusions