3 citations · 3 across the 2 of their papers we have counts for
3 papers
math.PR2022
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'…
math.PR2019
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…
q-fin.PR2013★ 3 cited
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…