Markov processes; theorems and problems

By E. Dynkin, A. A. I︠U︡shkevich. 2013

100 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b3fd6dd30e02ce849cbea89234c71a4cc1763f53

Citations in the corpus

• Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, unknown): “ provide the analytic expressions for the value functions of the double stopping problems; see Theorems 4.2 and 4.5 (without stop-loss), and Theorems 5.1 and 5.5 (with stop-loss). In earlier studies, Dynkin and Yushkevich (1969) analyze the concave characterization of excessive functions for a stand”