44 citations · 67 across the 7 of their papers we have counts for
4 papers · 1 filter
Comparison of Markov processes by the martingale comparison method
Benedikt Köpfer, Ludger Rüschendorf
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been o…
Comparison of path-dependent functionals of semimartingales
Benedikt Köpfer, Ludger Rüschendorf
Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of…
Comparison of path-independent functions of semimartingales
Benedikt Köpfer, Ludger Rüschendorf
The martingale comparison method is extended to derive comparison results for path-independent functions for general semimartingales. Our approach allows to dismiss with the Markov…
On a class of optimal stopping problems for diffusions with discontinuous coefficients
Ludger Rüschendorf, Mikhail A. Urusov
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of th…