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math.PR2019
On a Monotone Dynamic Approach to Optimal Stopping Problems for Continuous-Time Markov Chains
Laurent Miclo, Stéphane Villeneuve
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We intr…
math.PR2008★ 36 cited
A mixed singular/switching control problem for a dividend policy with reversible technology investment
Vathana Ly Vath, Huyên Pham, Stéphane Villeneuve
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem co…