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Probabilistic approach to Appell polynomials
Bao Quoc Ta
In this paper we study Appell polynomials by connecting them to random variables. This probabilistic approach yields, e.g., the mean value property which is fundamental in the sens…
Differentiablity of excessive functions of one-dimensional diffusions and the principle of smooth fit
Paavo Salminen, Bao Quoc Ta
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathema…
A note on the generalized Bernoulli and Euler Polynomials
Bao Quoc Ta
In this paper we use probabilistic methods to derive some results on the generalized Bernoulli and generalized Euler polynomials. Our approach is based on the properties of Appell…
Optimal stopping of strong Markov processes
Sören Christensen, Paavo Salminen, Bao Quoc Ta
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Marko…