Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control

By J. Chancelier, Bernt Øksendal, Agnès Sulem. 2000

60 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0d7a37d6c31566c0f9ad0ee2ecd0ad3715515f06

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Peter A. Forsyth
2. George Labahn
3. Kenneth R. Vetzal
4. Samuli Ikonen
5. Alexander Schied
6. S. Clift
7. L. Dwyer
8. A. Blake

Citations in the corpus

• European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs (2003, unknown): “the utility based option pricing approach in the market with proportional transaction costs was made by Constantinides and Zariphopoulou (1999), Andersen and Damgaard (1999), and some others.”
• Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007, background): “A recent survey article on the theoretical aspects of this topic is given in [35].”