64 citations · 258 across the 10 of their papers we have counts for
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math.PR2016★ 21 cited
A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
Parsiad Azimzadeh
We study a zero-sum stochastic differential game (SDG) in which one controller plays an impulse control while their opponent plays a stochastic control. We consider an asymmetric s…
q-fin.PR2016
Stock loans with liquidation
Parsiad Azimzadeh
We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to stu…