Stochastics, Volume 83, Issue 4-6 (2011)

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Stochastics, Volume 83, Issue 4-6 (2011)

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Optimal stopping with Applications

Editorials

Editorial
Optimal stopping with applications: an editorial introduction
Saul Jacka, Goran Peskir & Paavo Salminen
Pages: 311-313
Published online: 10 Oct 2011
First Page PreviewforOptimal stopping with applications: an editorial introduction | Full Text | PDF (44.8 KB)
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Free Access

Original Articles

Article
The British Russian Option
K. Glover, G. Peskir & F. Samee
Pages: 315-332
Published online: 18 Aug 2010
AbstractforThe British Russian Option | Full Text | References | PDF (609.5 KB)
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Article
Study of the risk-adjusted pricing methodology model with methods of geometrical analysis
L. A. Bordag
Pages: 333-345
Published online: 13 Sep 2010
AbstractforStudy of the risk-adjusted pricing methodology model with methods of geometrical analysis | Full Text | References | PDF (120.9 KB)
  • 107 Views
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Article
A harmonic function technique for the optimal stopping of diffusions
Sören Christensen & Albrecht Irle
Pages: 347-363
Published online: 09 Jun 2011
AbstractforA harmonic function technique for the optimal stopping of diffusions | Full Text | References | PDF (217.3 KB)
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Article
Hedging of swing game options in continuous time
Yonatan Iron & Yuri Kifer
Pages: 365-404
Published online: 08 Jun 2011
AbstractforHedging of swing game options in continuous time | Full Text | References | PDF (319.9 KB)
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Article
Optimal stopping of Markov chains and three abstract optimization problems
Isaac M. Sonin
Pages: 405-414
Published online: 08 Jun 2011
AbstractforOptimal stopping of Markov chains and three abstract optimization problems | Full Text | References | PDF (108.4 KB)
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Article
Error estimates for multinomial approximations of American options in a class of jump diffusion models
Yan Dolinsky
Pages: 415-429
Published online: 10 Oct 2011
AbstractforError estimates for multinomial approximations of American options in a class of jump diffusion models | Full Text | References | PDF (157.2 KB)
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Article
Optimal stopping of expected profit and cost yields in an investment under uncertainty
Boualem Djehiche, Said Hamadène & Marie-Amélie Morlais
Pages: 431-448
Published online: 08 Jun 2011
AbstractforOptimal stopping of expected profit and cost yields in an investment under uncertainty | Full Text | References | PDF (184.2 KB)
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Article
Simple improvement method for upper bound of American option
Mika Fujii, Koichi Matsumoto & Kengo Tsubota
Pages: 449-466
Published online: 08 Jun 2011
AbstractforSimple improvement method for upper bound of American option | Full Text | References | PDF (139 KB)
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Article
A new approach to the solution of optimal stopping problem in a discrete time
Ernst Presman
Pages: 467-475
Published online: 09 Jun 2011
AbstractforA new approach to the solution of optimal stopping problem in a discrete time | Full Text | References | PDF (97.2 KB)
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Article
Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
David Hobson & Martin Klimmek
Pages: 477-503
Published online: 09 Jun 2011
AbstractforConstructing time-homogeneous generalized diffusions consistent with optimal stopping values | Full Text | References | PDF (241.9 KB)
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Article
Explicit solutions to some optimal variance stopping problems
Jesper Lund Pedersen
Pages: 505-518
Published online: 10 Oct 2011
AbstractforExplicit solutions to some optimal variance stopping problems | Full Text | References | PDF (154.4 KB)
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Article
On the sequential testing problem for some diffusion processes
Pavel V. Gapeev & Albert N. Shiryaev
Pages: 519-535
Published online: 10 Oct 2011
AbstractforOn the sequential testing problem for some diffusion processes | Full Text | References | PDF (279.2 KB)
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Article
On the structure of discounted optimal stopping problems for one-dimensional diffusions
Pavel V. Gapeev & Hans Rudolf Lerche
Pages: 537-554
Published online: 10 Oct 2011
AbstractforOn the structure of discounted optimal stopping problems for one-dimensional diffusions | Full Text | References | PDF (289.9 KB)
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Article
An integral equation for American put options on assets with general dividend processes
M. H. Vellekoop & J. W. Nieuwenhuis
Pages: 555-567
Published online: 10 Oct 2011
AbstractforAn integral equation for American put options on assets with general dividend processes | Full Text | References | PDF (164.7 KB)
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Article
Optimal detection of transition probability change in random sequence
Wojciech Sarnowski & Krzysztof Szajowski
Pages: 569-581
Published online: 10 Mar 2011
AbstractforOptimal detection of transition probability change in random sequence | Full Text | References | PDF (131.5 KB)
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Article
Analysis of production decisions under budget limitations
Kurt L. Helmes, Richard H. Stockbridge & Hans Volkmer
Pages: 583-609
Published online: 10 Mar 2011
AbstractforAnalysis of production decisions under budget limitations | Full Text | References | PDF (240.4 KB)
  • 129 Views
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Article
Optimal stopping, Appell polynomials, and Wiener–Hopf factorization
Paavo Salminen
Pages: 611-622
Published online: 10 Mar 2011
AbstractforOptimal stopping, Appell polynomials, and Wiener–Hopf factorization | Full Text | References | PDF (117.9 KB)
  • 156 Views
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Article
Maximizing the discounted survival probability in Vardi's casino
Robert Chen, Ilie Grigorescu & Larry Shepp
Pages: 623-638
Published online: 10 Mar 2011
AbstractforMaximizing the discounted survival probability in Vardi's casino | Full Text | References | PDF (162.1 KB)
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