3 citations · 5 across the 2 of their papers we have counts for
3 papers
math.PR2015★ 3 cited
Expected Supremum Representation of the Value of a Singular Stochastic Control Problem
Luis H. R. Alvarez E., Pekka Matomäki
We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a stand…
math.PR2015★ 2 cited
Expected Supremum Representation and Optimal Stopping
Luis H. R. Alvarez E., Pekka Matomäki
We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral repr…
math.PR2013
Optimal stopping and control near boundaries
Pekka Matomäki
We will investigate the value and inactive region of optimal stopping and one-sided singular control problems by focusing on two fundamental ratios. We shall see that these ratios…