8 citations · 12 across the 5 of their papers we have counts for
7 papers
Diffusion spiders: Green kernel, excessive functions and optimal stopping
Jukka Lempa, Ernesto Mordecki, Paavo Salminen
A diffusion spider is a strong Markov process with continuous paths taking values on a graph with one vertex and a finite number of edges (of infinite length). An example is Walsh'…
On asymptotic relations between singular and constrained control problems of one-dimensional diffusions
Jukka Lempa, Harto Saarinen
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrain…
Ergodic control of diffusions with random intervention times
Jukka Lempa, Harto Saarinen
We study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at jump ti…
A class of Solvable Multiple Entry Problems with Forced Exits
Jukka Lempa
We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dyna…
Resolvent-Techniques For Multiple Exercise Problems
Sören Christensen, Jukka Lempa
We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate…
Swing options in commodity markets: A multidimensional Lévy diffusion model
Marcus Eriksson, Jukka Lempa, Trygve Kastberg Nilssen
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multid…
Optimal portfolios in commodity futures markets
Fred Espen Benth, Jukka Lempa
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objec…