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20092023
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 55 across the 16 of their papers we have counts for

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math.PR2009

A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain

Ruoting Gong, Christian Houdré

We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the…