1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.OC2007
A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions
Masahiko Egami
In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value fu…
math.OC2007★ 1 cited
A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
Masahiko Egami
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value f…
math.OC2007
An Analysis of Monotone Follower Problems for Diffusion Processes
Erhan Bayraktar, Masahiko Egami
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness…