53 citations · 217 across the 49 of their papers we have counts for
4 papers · 2 filters
Systems of quasi-variational inequalities related to the switching problem
Tomasz Klimsiak
We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichl…
Reflected BSDEs with regulated trajectories
Tomasz Klimsiak, Maurycy Rzymowski, Leszek Słomiński
We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We pro…
Nonlinear parabolic SPDEs involving Dirichlet operators
Tomasz Klimsiak, Andrzej Rozkosz
We study the problem of existence, uniqueness and regularity of probabilistic solutions of the Cauchy problem for nonlinear stochastic partial differential equations involving oper…
The valuation of American options in a multidimensional exponential Levy model
Tomasz Klimsiak, Andrzej Rozkosz
We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully exam…