Keywords: 60G40; 60H10; BSDE; g-expectation; Optimal stopping; Free boundary problem; Ambiguity;
مقالات ISI (ترجمه نشده)
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Keywords: 60G40; 60J25; 90C20; Dynamic and static optimality; Markov processes; Optimal variance stopping problems;
Keywords: 60G55; 60G40; 12E10; Primal and dual risk models; Order statistic property; Ruin problems; Appell and Abel-Gontcharov polynomials; Level spacings;
Keywords: 60G40; 60J75; 91G80; American options; Optimal stopping; Lévy processes; Periodic exercise opportunities;
Keywords: 60G40; 91B30; Equity-linked products with guarantees; Hedging of liabilities; Optimal stopping;
Keywords: 60G40; 91B70; 93E20; 35R35; Consumption-investment problem; Free boundaries; Constraints on consumption rate; Optimal strategies;
On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
Keywords: primary; 60J75; 60G40; 60E10; secondary; 34B05; 60J60; 60G51; Jump-diffusion processes; First exit times; Laplace transforms; Solvable stochastic differential equations; Non-affine processes; Mean-reverting and diverting property;
Keywords: primary; 60G40; secondary; 60H30; Explicit stopping rules; Excursion processes; Insider trading; Bermudan fixed-window lookback option; Brownian motion;
Keywords: C02; G11; G22; 91B30; 60G35; 60G40; 60J60; Unit-linked life insurance contract; Progressive enlargement of filtration; Partial Information; Local risk-minimization; Föllmer-Schweizer decomposition; Markov processes;
Keywords: 60G40; 62L15; 91G20; 91G80; C41; D53; G13; Optimal multiple stopping; Storage cost; Agricultural futures; Mean reversion; Non-convergence; Basis;
Keywords: 60E15; 60G40; 62L99; First-hitting time; Renewal theory; Decoupling; Probability bounds;
Keywords: 60G40; 65N06; 65N12American option; Irrational exercise; Nonlinear Black–Scholes equations; Finite difference method; Numerical analysis
Keywords: 60G40; 60J60; 65R20; 60J65; 60J70Bivariate Wiener process; Error analysis; Hitting time; System of Volterra–Fredholm integral equations; Bivariate Kolmogorov forward equation
Keywords: 60G07; 60G44; 60G40; Enlargement of filtrations; Hypothesis(Hâ²); Drift operator; Martingale representation property; Conditional multiplicity; Market viability; Structure condition; Local martingale deflator; No-arbitrage of first kind;
Keywords: 35R35; 60G40; 91B70; 93E20Parabolic Barenblatt equation; Free boundary; Stochastic optimal control; Insurance company; Reinsurance
Keywords: 60H10; 60G40; 60H30Mean-field; Backward stochastic differential equation; Subdifferential operator; McKean–Vlasov equation; Viscosity solution
Keywords: Mean-field backward stochastic; Differential equation; Stieltjes measure; Comparison theorem60H10; 60G40; 60H30
Keywords: 60J27; 60G40; Markov chain; Hitting time; Taboo probabilities; Catalytic branching process;
Keywords: 60G40; 60G42; Martingales; Stopping times; Optional stopping theorem; Gambling team technique; Generating functions;
Keywords: 60G40; 60J27; 60J60; Regime switching; Markov switching; First-passage time; First-exit time; Wiener-Hopf factorization; Option pricing;
Keywords: 49N25; 60G40; Impulse control strategies; Superharmonic functions; General Markov processes;
Keywords: 93E20; 60G40; 35R35; 91A15; 91B70Partially reversible investment; Singular stochastic control; Zero-sum optimal stopping games; Free-boundary problems; Skorokhod reflection problem
Keywords: 91B30; 60G40; Multirisks model; Discrete or continuous time; Finite-time ruin probability; Appell algebraic structure; Recursive methods; Stop-loss and excess of loss reinsurance;
Keywords: 60B10; 60F15; 60G40; 60G50; 60J10Generalized beta distribution; Kummer distribution of type two; Letac Wesołowski Matsumoto; Yor independence property
A sharp bound on the expected number of upcrossings of an L2-bounded Martingale
Keywords: 60G44; 60G40; Brownian Motion; Upcrossings; Martingale; Optimal stopping;
Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
Keywords: 60G40; 93E20; 62P20; 91B99; Real options; Switching problem; Reflected BSDEs; Oblique reflection; Normal reflection; Optimal stopping problem;
Strong stationary duality for discrete time Möbius monotone Markov chains on Z+d
Keywords: 06A06; 60G40; 60J10; Strong stationary times; Strong stationary duality; Möbius function; Möbius monotonicity; Birth and death chains;
Integral equations for Rost's reversed barriers: Existence and uniqueness results
Keywords: 60G40; 60J65; 60J55; 35R35; 45D05; Skorokhod embedding; Rost's reversed barriers; Optimal stopping; Free-boundary problems; Volterra integral equations;
A sharp maximal inequality for one-dimensional Dunkl martingales
Keywords: 60G40; 60G44Dunkl martingale; Maximal; Optimal stopping; Best constant
Analysis of a drawdown-based regime-switching Lévy insurance model
Keywords: primary; 60G40; secondary; 60G51; Drawdown; Exit time; Two-sided exit problem; Lévy process; Occupation time; Premium change; Regime-switching;
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
Keywords: 60G40; 60G51; 91G20; American options; Optimal stopping; Canadisation; Lévy processes; Meromorphic;
Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model
Keywords: 91G80; 91G30; 60G40; 49J40; 35R15American Put options on a Bond; HJM model; Forward interest rates; Musiela’s parametrization; Optimal stopping; Infinite-dimensional stochastic analysis
Games of singular control and stopping driven by spectrally one-sided Lévy processes
Keywords: 91A15; 60G40; 60G51; 93E20Controller-and-stopper games; Lévy processes; Scale functions; Continuous and smooth fit
Information, no-arbitrage and completeness for asset price models with a change point
Keywords: 60G40; 60G44; 91B25; 91B70; 91G10; Enlargement of filtration; Martingale representation; Random time; Change point; Regime switching; Arbitrage of the first kind; Free lunch with vanishing risk;
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score
Keywords: 60F17; 60G17; 60G40; 60G44; 60G50; 60G52; 60J55; 60J65; Lindley process; Local score; Donsker invariance theorem; Reflected Brownian motion; Inverse of the local time; Brownian excursions;
Random walks in the quarter plane, discrete harmonic functions and conformal mappings
Keywords: primary; 60G50; 31C35; secondary; 60G40; 30F10; Random walk in the quarter plane; Discrete harmonic function; Classical harmonic function; Generating function; Martin boundary; Exit time; Conformal mapping;
A prophet inequality for L2-martingales
Keywords: 60G40; 60E15; 60G42; Prophet inequality; Optimal stopping; Martingale;
On simple representations of stopping times and stopping time sigma-algebras
Keywords: 60G40; 97K50; 97K60Début Theorem; Hitting time; Stopped sigma-algebra; Stopping time; Stopping time sigma-algebra
Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps
Keywords: 60F10; 60G40; 60G42Discrete-time (sub/super) martingales; Large deviations; Concentration inequalities
Records in subsets of a random field
Keywords: primary; 60F05; 60F15; 60G70; 60G60; secondary; 60G40; Records; i.i.d. random variables; Law of large numbers; Central limit theorem; Random field;
Stochastic optimal multi-modes switching with a viscosity solution approach
Keywords: 60G40; 62P20; 91B99; 91B28; 35B37; 49L25; Real options; Backward stochastic differential equations; Snell envelope; Stopping times; Switching; Viscosity solution of PDEs; Variational inequalities;
The tug-of-war without noise and the infinity Laplacian in a wedge
Keywords: primary; 60G40; 91A15; 35B65; secondary; 91A24; 34A34; 60G42; Tug-of-war without noise; Wedge; Inhomogeneous game â-Laplacian; Viscosity solution; Expected time to end the game; Critical angle;
Optimal stopping for partially observed piecewise-deterministic Markov processes
Keywords: 60G40; 60J25; 93E20; 93E25; 93E10; 60K10Optimal stopping; Partial observation; Filtering; Piecewise deterministic Markov processes; Quantization; Numerical method
Default swap games driven by spectrally negative Lévy processes
Keywords: 91A15; 60G40; 60G51; 91B25Optimal stopping games; Nash equilibrium; Lévy processes; Scale function; Credit default swaps
A note on the domination inequalities and their applications
Keywords: 60E15; 60J60; 60G44; 60G40; Domination inequality; Increasing process; Locally square integrable martingale; Ornstein-Uhlenbeck process; Bessel process;
Central limit theorems for realized volatility under hitting times of an irregular grid
Keywords: 60F05; 60F17; 60G40; 60G44; 62M99Central limit theorem; Hitting times; Irregular grid; Semi-martingales; Stable convergence
Stochastic processes with proportional increments and the last-arrival problem
Keywords: primary; 60K35; secondary; 60G40; Martingales; Reverse martingales; Lévy processes; Optimal stopping problems; Game version; No-information version; Well-posedness; Hadamard's criteria; Shannon entropy; Pascal processes; 1/e-law; Monotone subsequence p
Regularity of the American Put option in the Black–Scholes model with general discrete dividends
Keywords: 60G40; 91A60; 91G20Optimal stopping; American options; Dividends; Early exercise boundary; Smooth contact property
Particle filters with random resampling times
Keywords: 60F05 (60F25; 60G35; 60G40; 60H35; 93E11); Stochastic partial differential equation; Filtering; Zakai equation; Particle filters; Sequential Monte-Carlo methods; Resampling; Resampling times; Random times; Effective sample size; Coefficient of variation;
A new look at the homogeneous risk model
Keywords: Primary; 62P05; secondary; 60G40; 12E10; Risk process; Finite time horizon; Order statistic property; Variance-to-mean ratio; Convex order; Non-ruin probability; Appell polynomials;