3 papers
math.PR2020
Stopper-Controller Games embedded in Single-Player Control Problems
Martin Larsson, Marvin S. Mueller, Josef Teichmann
In 2002, Benjamin Jourdain and Claude Martini discovered that for a class of payoff functions, the pricing problem for American options can be reduced to pricing of European option…
math.PR2018
Approximation of the interface condition for stochastic Stefan-type problems
Marvin S. Mueller
We consider approximations of the Stefan-type condition by imbalances of volume closely around the inner interface and study convergence of the solutions of the corresponding semil…
math.PR2018
Forward-Invariance and Wong-Zakai Approximation for Stochastic Moving Boundary Problems
Martin Keller-Ressel, Marvin S. Mueller
We discuss a class of stochastic second-order PDEs in one space-dimension with an inner boundary moving according to a possibly non-linear, Stefan-type condition. We show that prop…