#### Filter Results:

- Full text PDF available (4)

#### Publication Year

2012

2015

- This year (0)
- Last 5 years (5)
- Last 10 years (5)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Pekka Matomäki
- Math. Meth. of OR
- 2012

We study a two-sided singular control problem in a general linear diffusion setting and provide a set of conditions under which an optimal control exists uniquely and is of singular control type. Moreover, under these conditions the associated value function can be written in a quasi-explicit form. Furthermore, we investigate comparative static properties… (More)

- Luis H. R. Alvarez, Pekka Matomäki, Teppo A. Rakkolainen
- SIAM J. Control and Optimization
- 2014

We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a connection between the considered problem and a stopping problem of an associated continuous diffusion process and… (More)

- Luis H. R. Alvarez, Pekka Matomäki
- J. Applied Probability
- 2014

We consider a class of optimal stopping problems involving both the running maximum as well as the prevailing state of a linear diffusion. Instead of tackling the problem directly via the standard free boundary approach, we take an alternative route and present a parameterized family of standard stopping problems of the underlying diffusion. We apply this… (More)

We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral representation of this function by utilizing the explicitly known joint probability distribution of the extremal processes. We also delineate circumstances under which the value of a… (More)

We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral representation of this function by utilizing the explicitly known joint probability distribution of the extremal processes. We also delineate circumstances under which the value of a… (More)

- ‹
- 1
- ›