On the properties of $r$-excessive mappings for a class of diffusions

By Luis H. R. Alvarez. 2003

84 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a412ecae00fc4fc3affb1b4fbaa079ad866d3fbe

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In Finance

1. Stéphane Villeneuve

Citations in the corpus

• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems (2007, background): “We recall that the convexity of the value function and its connection with the volatility misspecification has recently been studied deeply, see [9], [18], [11], [7] and [1].”
• A Class of Solvable Impulse Control Problems (2004, background): “A set of sufficient conditions extending the result of Theorem 6 in [ 8 ] are now summarized in our next lemma.”