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- 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)

- 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
- 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)

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