Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty

JOURNAL ARTICLE published 1 February 2017 in Brazilian Journal of Probability and Statistics

Authors: Erick Treviño Aguilar

On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

JOURNAL ARTICLE published June 2013 in Journal of Applied Probability

Authors: Zechun Hu | Bin Jiang

Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case

JOURNAL ARTICLE published March 2007 in Advances in Applied Probability

Authors: Michael Schröder

Optimal double stopping of a Brownian bridge

JOURNAL ARTICLE published December 2015 in Advances in Applied Probability

Authors: Erik J. Baurdoux | Nan Chen | Budhi A. Surya | Kazutoshi Yamazaki

Optimal stopping methodology for the secretary problem with random queries

JOURNAL ARTICLE published June 2024 in Journal of Applied Probability

Authors: George V. Moustakides | Xujun Liu | Olgica Milenkovic

On the absolute ruin in a MAP risk model with debit interest

JOURNAL ARTICLE published March 2011 in Advances in Applied Probability

Authors: Zhimin Zhang | Hailiang Yang | Hu Yang

Conservative processes with stochastic rates

JOURNAL ARTICLE published September 1975 in Journal of Applied Probability

Authors: Roy Saunders

Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time

JOURNAL ARTICLE published September 2019 in Advances in Applied Probability

Authors: Wenyuan Wang | Zhimin Zhang

Dynamic models of long-memory processes driven by Lévy noise

JOURNAL ARTICLE published December 2002 in Journal of Applied Probability

Authors: V. V. Anh | C. C. Heyde | N. N. Leonenko

Optimal insurance demand under marked point processes shocks

JOURNAL ARTICLE published 1 February 2000 in The Annals of Applied Probability

Authors: Nizar Touzi

Optimal stopping under g-Expectation with -integrable reward process

JOURNAL ARTICLE published March 2023 in Journal of Applied Probability

Authors: Mun-Chol Kim | Hun O | Ho-Jin Hwang

The Optimal Stopping Problem for the Kalman–Bucy Scheme

JOURNAL ARTICLE published January 2011 in Theory of Probability & Its Applications

Authors: P. Babilua | I. Bokuchava | B. Dochviri

Discrete-type approximations for non-Markovian optimal stopping problems: Part I

JOURNAL ARTICLE published December 2019 in Journal of Applied Probability

Authors: Dorival Leão | Alberto Ohashi | Francesco Russo

One-sided solutions for optimal stopping problems with logconcave reward functions

JOURNAL ARTICLE published March 2019 in Advances in Applied Probability

Authors: Yi-Shen Lin | Yi-Ching Yao

Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

JOURNAL ARTICLE published 1 January 2022 in Electronic Journal of Probability

Authors: Tiziano De Angelis

On the Optimal Stopping of a Brownian Motion with a Negative Drift

JOURNAL ARTICLE published January 2012 in Theory of Probability & Its Applications

Authors: S. S. Sinelnikov

Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns

JOURNAL ARTICLE published September 2014 in Journal of Applied Probability

Authors: Pavel V. Gapeev | Neofytos Rodosthenous

Optimal stopping in a partially observable binary-valued markov chain with costly perfect information

JOURNAL ARTICLE published March 1982 in Journal of Applied Probability

Authors: George E. Monahan

Optimal resource allocation in chemical research

JOURNAL ARTICLE published 1969 in Advances in Applied Probability

Authors: J. C. Gittins

Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns

JOURNAL ARTICLE published September 2014 in Journal of Applied Probability

Authors: Pavel V. Gapeev | Neofytos Rodosthenous