Correa, José; Cristi, Andrés; Epstein, Boris; Soto, José A. Sample-driven optimal stopping: from the secretary problem to the i.i.d. prophet inequality. (English) Zbl 07812930 Math. Oper. Res. 49, No. 1, 441-475 (2024). MSC: 90C59 60G40 PDFBibTeX XMLCite \textit{J. Correa} et al., Math. Oper. Res. 49, No. 1, 441--475 (2024; Zbl 07812930) Full Text: DOI arXiv
Bednarz, Ewelina; Ernst, Philip A.; Osękowski, Adam On the diameter of the stopped spider process. (English) Zbl 07812926 Math. Oper. Res. 49, No. 1, 346-365 (2024). MSC: 60G40 91B70 60G44 PDFBibTeX XMLCite \textit{E. Bednarz} et al., Math. Oper. Res. 49, No. 1, 346--365 (2024; Zbl 07812926) Full Text: DOI arXiv
Ivanovs, Jevgenijs; Yamazaki, Kazutoshi A series expansion formula of the scale matrix with applications in CUSUM analysis. (English) Zbl 07812499 Stochastic Processes Appl. 170, Article ID 104300, 20 p. (2024). MSC: 60G51 60G40 62M05 PDFBibTeX XMLCite \textit{J. Ivanovs} and \textit{K. Yamazaki}, Stochastic Processes Appl. 170, Article ID 104300, 20 p. (2024; Zbl 07812499) Full Text: DOI arXiv
Ekström, Erik; Mellquist, Ebba Monotonicity of implied volatility for perpetual put options. (English) Zbl 07808672 J. Appl. Probab. 61, No. 1, 301-310 (2024). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{E. Mellquist}, J. Appl. Probab. 61, No. 1, 301--310 (2024; Zbl 07808672) Full Text: DOI
Klump, Alexander; Kolb, Martin An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion. (English) Zbl 07808671 J. Appl. Probab. 61, No. 1, 279-300 (2024). Reviewer: Liping Li (Beijing) MSC: 60J65 60G40 60E15 PDFBibTeX XMLCite \textit{A. Klump} and \textit{M. Kolb}, J. Appl. Probab. 61, No. 1, 279--300 (2024; Zbl 07808671) Full Text: DOI
Lin, Yi-Shen A note on one-sided solutions for optimal stopping problems driven by Lévy processes. (English) Zbl 07803686 Stat. Probab. Lett. 206, Article ID 109989, 9 p. (2024). MSC: 60G40 62L15 60J10 60J65 PDFBibTeX XMLCite \textit{Y.-S. Lin}, Stat. Probab. Lett. 206, Article ID 109989, 9 p. (2024; Zbl 07803686) Full Text: DOI
Çetiṅ, Umut Minimal subharmonic functions and related integral representations. (English) Zbl 07798915 Electron. J. Probab. 29, Paper No. 3, 35 p. (2024). MSC: 60J60 60J55 60G40 PDFBibTeX XMLCite \textit{U. Çetiṅ}, Electron. J. Probab. 29, Paper No. 3, 35 p. (2024; Zbl 07798915) Full Text: DOI arXiv
Pchelintsev, Evgenii A.; Pergamenchtchikov, Serguei M.; Tenzin, Roman O. Truncated sequential change-point detection for Markov chains with applications in the epidemic statistical analysis. (English) Zbl 07798884 Sequential Anal. 43, No. 1, 57-78 (2024). MSC: 62L10 62L15 60G40 60J05 60J20 PDFBibTeX XMLCite \textit{E. A. Pchelintsev} et al., Sequential Anal. 43, No. 1, 57--78 (2024; Zbl 07798884) Full Text: DOI
Lange, Rutger-Jan; Teulings, Coen N. Irreversible investment under predictable growth: why land stays vacant when housing demand is booming. (English) Zbl 07791708 J. Econ. Theory 215, Article ID 105776, 19 p. (2024). MSC: 91G50 60G40 PDFBibTeX XMLCite \textit{R.-J. Lange} and \textit{C. N. Teulings}, J. Econ. Theory 215, Article ID 105776, 19 p. (2024; Zbl 07791708) Full Text: DOI
Al-Hadad, Jonas; Palmowski, Zbigniew Perpetual American options with asset-dependent discounting. (English) Zbl 07791675 Appl. Math. Optim. 89, No. 1, Paper No. 18, 35 p. (2024). MSC: 91G20 60G40 60G51 PDFBibTeX XMLCite \textit{J. Al-Hadad} and \textit{Z. Palmowski}, Appl. Math. Optim. 89, No. 1, Paper No. 18, 35 p. (2024; Zbl 07791675) Full Text: DOI arXiv OA License
De Angelis, Tiziano; Ekström, Erik; Olofsson, Marcus The maximality principle in singular control with absorption and its applications to the dividend problem. (English) Zbl 07791450 SIAM J. Control Optim. 62, No. 1, 91-117 (2024). MSC: 91G50 93E20 60G40 35R35 PDFBibTeX XMLCite \textit{T. De Angelis} et al., SIAM J. Control Optim. 62, No. 1, 91--117 (2024; Zbl 07791450) Full Text: DOI arXiv
Li, Qi; Ahn, Seryoong; Yoon, Ji-Hun Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio. (English) Zbl 07791036 Japan J. Ind. Appl. Math. 41, No. 1, 421-446 (2024). MSC: 91G10 60G40 49L20 91B42 PDFBibTeX XMLCite \textit{Q. Li} et al., Japan J. Ind. Appl. Math. 41, No. 1, 421--446 (2024; Zbl 07791036) Full Text: DOI
Aïdékon, Elie; Hu, Yueyun; Shi, Zhan An infinite-dimensional representation of the Ray-Knight theorems. (English) Zbl 07791015 Sci. China, Math. 67, No. 1, 149-162 (2024). MSC: 60J65 60J55 60G40 60J80 PDFBibTeX XMLCite \textit{E. Aïdékon} et al., Sci. China, Math. 67, No. 1, 149--162 (2024; Zbl 07791015) Full Text: DOI arXiv
Chen, Pengzhan; Song, Yingda A general approximation method for optimal stopping and random delay. (English) Zbl 07790866 Math. Finance 34, No. 1, 5-35 (2024). MSC: 91G80 60G40 60J28 PDFBibTeX XMLCite \textit{P. Chen} and \textit{Y. Song}, Math. Finance 34, No. 1, 5--35 (2024; Zbl 07790866) Full Text: DOI
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas Supermartingale shadow couplings: the decreasing case. (English) Zbl 07788879 Bernoulli 30, No. 1, 143-169 (2024). MSC: 60G42 60G44 91G20 60G40 49Q20 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Bernoulli 30, No. 1, 143--169 (2024; Zbl 07788879) Full Text: DOI arXiv
Chaves, Isaías N.; Ichihashi, Shota Auction timing and market thickness. (English) Zbl 07787046 Games Econ. Behav. 143, 161-178 (2024). MSC: 91B26 60G40 PDFBibTeX XMLCite \textit{I. N. Chaves} and \textit{S. Ichihashi}, Games Econ. Behav. 143, 161--178 (2024; Zbl 07787046) Full Text: DOI
Lempa, Jukka; Mordecki, Ernesto; Salminen, Paavo Diffusion spiders: Green kernel, excessive functions and optimal stopping. (English) Zbl 07785661 Stochastic Processes Appl. 167, Article ID 104229, 34 p. (2024). Reviewer: Manuel D. Domínguez de la Iglesia (Ciudad de México) MSC: 60J60 60J35 60J65 60G40 PDFBibTeX XMLCite \textit{J. Lempa} et al., Stochastic Processes Appl. 167, Article ID 104229, 34 p. (2024; Zbl 07785661) Full Text: DOI arXiv
Karimi, Nader; Salavati, Erfan; Assa, Hirbod; Adibi, Hojatollah A stochastic optimal stopping model for storable commodity prices. (English) Zbl 1525.60050 Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024). MSC: 60G40 91G05 91B24 62P20 PDFBibTeX XMLCite \textit{N. Karimi} et al., Stat. Probab. Lett. 204, Article ID 109941, 6 p. (2024; Zbl 1525.60050) Full Text: DOI
Huang, Cunxin; Song, Haiming; Yang, Jinda; Zhou, Bocheng Error analysis of finite difference scheme for American option pricing under regime-switching with jumps. (English) Zbl 1528.91078 J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{C. Huang} et al., J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024; Zbl 1528.91078) Full Text: DOI
Bollman, Mark Basic gambling mathematics. The numbers behind the neon. 2nd edition. (English) Zbl 07734050 AK Peters/CRC Recreational Mathematics Series. Boca Raton, FL: CRC Press/A K Peters (ISBN 978-1-032-41461-4/hbk; 978-1-032-41460-7/pbk; 978-1-003-35818-3/ebook). xi, 310 p. (2024). MSC: 91-01 91A60 60-01 60C05 60G40 00A06 00A09 PDFBibTeX XMLCite \textit{M. Bollman}, Basic gambling mathematics. The numbers behind the neon. 2nd edition. Boca Raton, FL: CRC Press/A K Peters (2024; Zbl 07734050) Full Text: DOI
Campbell, Steven; Zhang, Yuchong A Mean Field Game of Sequential Testing. arXiv:2403.18297 Preprint, arXiv:2403.18297 [math.OC] (2024). MSC: 91A16 91A55 60G35 60G40 BibTeX Cite \textit{S. Campbell} and \textit{Y. Zhang}, ``A Mean Field Game of Sequential Testing'', Preprint, arXiv:2403.18297 [math.OC] (2024) Full Text: arXiv OA License
Vysotsky, Vladislav Stationary switching random walks. arXiv:2403.04620 Preprint, arXiv:2403.04620 [math.PR] (2024). MSC: 60J10 60G51 60G10 37A50 60G40 BibTeX Cite \textit{V. Vysotsky}, ``Stationary switching random walks'', Preprint, arXiv:2403.04620 [math.PR] (2024) Full Text: arXiv OA License
Mijatovic, Aleksandar; Vysotsky, Vladislav Stationary entrance chains and applications to random walks. arXiv:2403.00619 Preprint, arXiv:2403.00619 [math.PR] (2024). MSC: 60J10 60G50 37A50 60J55 60G10 60G40 60F05 28D05 BibTeX Cite \textit{A. Mijatovic} and \textit{V. Vysotsky}, ``Stationary entrance chains and applications to random walks'', Preprint, arXiv:2403.00619 [math.PR] (2024) Full Text: arXiv OA License
Perninge, Magnus Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs. arXiv:2402.17541 Preprint, arXiv:2402.17541 [math.PR] (2024). MSC: 49J40 60G40 BibTeX Cite \textit{M. Perninge}, ``Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs'', Preprint, arXiv:2402.17541 [math.PR] (2024) Full Text: arXiv OA License
Gao, Zhongqin; Zhou, Xiaowen; Lv, Yan An Optimal Dividend Problem for Skew Brownian Motion with Two-Valued Drift. arXiv:2402.11471 Preprint, arXiv:2402.11471 [math.PR] (2024). MSC: 60G40 60J80 93E20 BibTeX Cite \textit{Z. Gao} et al., ``An Optimal Dividend Problem for Skew Brownian Motion with Two-Valued Drift'', Preprint, arXiv:2402.11471 [math.PR] (2024) Full Text: arXiv OA License
Bovo, Andrea; De Angelis, Tiziano On the saddle point of a zero-sum stopper vs. singular-controller game. arXiv:2401.17719 Preprint, arXiv:2401.17719 [math.OC] (2024). MSC: 91A05 91A15 60G40 93E20 49J40 35R35 60J60 60J55 BibTeX Cite \textit{A. Bovo} and \textit{T. De Angelis}, ``On the saddle point of a zero-sum stopper vs. singular-controller game'', Preprint, arXiv:2401.17719 [math.OC] (2024) Full Text: arXiv OA License
Liang, Vincent; Borovkov, Konstantin The Gâteaux derivative of the curvilinear boundary crossing probability of a diffusion process. arXiv:2401.16787 Preprint, arXiv:2401.16787 [math.PR] (2024). MSC: 60J60 60G40 60G46 BibTeX Cite \textit{V. Liang} and \textit{K. Borovkov}, ``The G\^ateaux derivative of the curvilinear boundary crossing probability of a diffusion process'', Preprint, arXiv:2401.16787 [math.PR] (2024) Full Text: arXiv OA License
Kharroubi, Idris; Ocello, Antonio Optimal Stopping of Branching Diffusion Processes. arXiv:2401.12811 Preprint, arXiv:2401.12811 [math.PR] (2024). MSC: 60G40 60J80 35J60 49L20 49L25 BibTeX Cite \textit{I. Kharroubi} and \textit{A. Ocello}, ``Optimal Stopping of Branching Diffusion Processes'', Preprint, arXiv:2401.12811 [math.PR] (2024) Full Text: arXiv OA License
Beneš, Václav E.; Gaitsgori, Georgy; Karatzas, Ioannis Drift Control with Discretionary Stopping for a Diffusion Process. arXiv:2401.10043 Preprint, arXiv:2401.10043 [math.OC] (2024). MSC: 93E20 60G40 60J60 BibTeX Cite \textit{V. E. Beneš} et al., ``Drift Control with Discretionary Stopping for a Diffusion Process'', Preprint, arXiv:2401.10043 [math.OC] (2024) Full Text: arXiv OA License
Denisov, Denis; Tarasov, Alexander; Wachtel, Vitali Expansions for random walks conditioned to stay positive. arXiv:2401.09929 Preprint, arXiv:2401.09929 [math.PR] (2024). MSC: 60G50 60G40 60F17 BibTeX Cite \textit{D. Denisov} et al., ``Expansions for random walks conditioned to stay positive'', Preprint, arXiv:2401.09929 [math.PR] (2024) Full Text: arXiv OA License
Ernst, Philip; Mei, Hongwei Exact optimal stopping for multidimensional linear switching diffusions. (English) Zbl 07809871 Math. Oper. Res. 48, No. 3, 1589-1606 (2023). MSC: 60G40 93C30 PDFBibTeX XMLCite \textit{P. Ernst} and \textit{H. Mei}, Math. Oper. Res. 48, No. 3, 1589--1606 (2023; Zbl 07809871) Full Text: DOI arXiv
Belomestny, Denis; Bender, Christian; Schoenmakers, John Solving optimal stopping problems via randomization and empirical dual optimization. (English) Zbl 07809866 Math. Oper. Res. 48, No. 3, 1454-1480 (2023). MSC: 91G60 90C05 60G40 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Math. Oper. Res. 48, No. 3, 1454--1480 (2023; Zbl 07809866) Full Text: DOI
Boodaghians, Shant; Fusco, Federico; Lazos, Philip; Leonardi, Stefano Pandora’s box problem with order constraints. (English) Zbl 07808947 Math. Oper. Res. 48, No. 1, 498-519 (2023). MSC: 90B40 90C59 60G40 PDFBibTeX XMLCite \textit{S. Boodaghians} et al., Math. Oper. Res. 48, No. 1, 498--519 (2023; Zbl 07808947) Full Text: DOI arXiv
De Oliveira Gomes, André; Catuogno, Pedro José Large deviations for Lévy diffusions in the small noise regime. (English) Zbl 07808544 Stoch. Dyn. 23, No. 7, Article ID 2350058, 39 p. (2023). MSC: 60H10 60F10 60J76 60G40 60G51 PDFBibTeX XMLCite \textit{A. De Oliveira Gomes} and \textit{P. J. Catuogno}, Stoch. Dyn. 23, No. 7, Article ID 2350058, 39 p. (2023; Zbl 07808544) Full Text: DOI arXiv
Boubaker, Sabri; Han, Xuyuan; Liu, Zhenya; Zhan, Yaosong Optimal filter rules for selling stocks in the emerging stock markets. (English) Zbl 07801434 Ann. Oper. Res. 330, No. 1-2, 211-242 (2023). MSC: 60G40 91G10 60J60 91B06 91B16 PDFBibTeX XMLCite \textit{S. Boubaker} et al., Ann. Oper. Res. 330, No. 1--2, 211--242 (2023; Zbl 07801434) Full Text: DOI
Bouhadou, Siham; Hilbert, Astrid; Ouknine, Youssef Optimal stopping in predictable setting. (English) Zbl 07799986 Probab. Uncertain. Quant. Risk 8, No. 4, 485-498 (2023). MSC: 60G40 60G44 60G99 60H99 PDFBibTeX XMLCite \textit{S. Bouhadou} et al., Probab. Uncertain. Quant. Risk 8, No. 4, 485--498 (2023; Zbl 07799986) Full Text: DOI
Pinsky, Ross G. The secretary problem with non-uniform arrivals via a left-to-right minimum exponentially tilted distribution. (English) Zbl 07799704 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 2, 1631-1642 (2023). MSC: 60G40 60C05 PDFBibTeX XMLCite \textit{R. G. Pinsky}, ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 2, 1631--1642 (2023; Zbl 07799704) Full Text: arXiv Link
Denisov, Denis; Fitzgerald, Will Ordered exponential random walks. (English) Zbl 07799687 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 2, 1211-1246 (2023). MSC: 60G50 60G40 60C05 60K25 60K35 PDFBibTeX XMLCite \textit{D. Denisov} and \textit{W. Fitzgerald}, ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 2, 1211--1246 (2023; Zbl 07799687) Full Text: arXiv Link
Garbit, Rodolphe; Raschel, Kilian Random walks with drift inside a pyramid: convergence rate for the survival probability. (English) Zbl 07799677 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 2, 973-988 (2023). MSC: 60G50 60G40 60E10 52B11 PDFBibTeX XMLCite \textit{R. Garbit} and \textit{K. Raschel}, ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 2, 973--988 (2023; Zbl 07799677) Full Text: arXiv Link
He, Xihao; Tan, Xiaolu; Zou, Jun An exit contract optimization problem. (English) Zbl 07798873 ESAIM, Control Optim. Calc. Var. 29, Paper No. 82, 33 p. (2023). MSC: 60G40 60G07 49M25 PDFBibTeX XMLCite \textit{X. He} et al., ESAIM, Control Optim. Calc. Var. 29, Paper No. 82, 33 p. (2023; Zbl 07798873) Full Text: DOI arXiv
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou Equilibria of time-inconsistent stopping for one-dimensional diffusion processes. (English) Zbl 07797366 Math. Finance 33, No. 3, 797-841 (2023). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Math. Finance 33, No. 3, 797--841 (2023; Zbl 07797366) Full Text: DOI arXiv OA License
Zhou, Zhengqing; Wang, Guanyang; Blanchet, Jose H.; Glynn, Peter W. Unbiased optimal stopping via the MUSE. (English) Zbl 07796464 Stochastic Processes Appl. 166, Article ID 104088, 25 p. (2023). MSC: 62C05 60G40 62L15 PDFBibTeX XMLCite \textit{Z. Zhou} et al., Stochastic Processes Appl. 166, Article ID 104088, 25 p. (2023; Zbl 07796464) Full Text: DOI arXiv
Yousuf, M.; Khaliq, A. Q. M. Pricing American option using a modified fractional Black-Scholes model under multi-state regime switching. (English) Zbl 07793177 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350019, 21 p. (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 35R11 91G20 60G40 PDFBibTeX XMLCite \textit{M. Yousuf} and \textit{A. Q. M. Khaliq}, Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350019, 21 p. (2023; Zbl 07793177) Full Text: DOI
Ruf, Johannes; Larsson, Martin; Koolen, Wouter M.; Ramdas, Aaditya A composite generalization of Ville’s martingale theorem using e-processes. (English) Zbl 07790281 Electron. J. Probab. 28, Paper No. 127, 21 p. (2023). MSC: 60A10 60F15 60G40 PDFBibTeX XMLCite \textit{J. Ruf} et al., Electron. J. Probab. 28, Paper No. 127, 21 p. (2023; Zbl 07790281) Full Text: DOI arXiv
Whitmeyer, Mark Submission costs in risk-taking contests. (English) Zbl 07786795 Games Econ. Behav. 142, 101-112 (2023). MSC: 91B26 60G40 PDFBibTeX XMLCite \textit{M. Whitmeyer}, Games Econ. Behav. 142, 101--112 (2023; Zbl 07786795) Full Text: DOI arXiv
da Silva, Telles Timóteo On a diffusion which stochastically restarts from moving random spatial positions: a non-renewal framework. (English) Zbl 1528.60082 J. Phys. A, Math. Theor. 56, No. 49, Article ID 495004, 31 p. (2023). MSC: 60J60 60G40 PDFBibTeX XMLCite \textit{T. T. da Silva}, J. Phys. A, Math. Theor. 56, No. 49, Article ID 495004, 31 p. (2023; Zbl 1528.60082) Full Text: DOI
Gao, Chengfan; Gao, Siping; Hu, Ruimeng; Zhu, Zimu Convergence of the backward deep BSDE method with applications to optimal stopping problems. (English) Zbl 1527.60031 SIAM J. Financ. Math. 14, No. 4, 1290-1303 (2023). MSC: 60G40 60H35 65C30 PDFBibTeX XMLCite \textit{C. Gao} et al., SIAM J. Financ. Math. 14, No. 4, 1290--1303 (2023; Zbl 1527.60031) Full Text: DOI arXiv
Zaman, Shahid; Ullah, Asad Kemeny’s constant and global mean first passage time of random walks on octagonal cell network. (English) Zbl 1527.05161 Math. Methods Appl. Sci. 46, No. 8, 9177-9186 (2023). MSC: 05C81 05C50 60G40 PDFBibTeX XMLCite \textit{S. Zaman} and \textit{A. Ullah}, Math. Methods Appl. Sci. 46, No. 8, 9177--9186 (2023; Zbl 1527.05161) Full Text: DOI
Ledoux, Michel Optimal matching of random samples and rates of convergence of empirical measures. (English) Zbl 07773786 Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 615-627 (2023). MSC: 60D05 60G40 60Fxx 60Bxx PDFBibTeX XMLCite \textit{M. Ledoux}, Lect. Notes Math. 2313, 615--627 (2023; Zbl 07773786) Full Text: DOI
Jeanblanc, Monique Some remarks on enlargement of filtration and finance. (English) Zbl 1525.60052 Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 95-114 (2023). MSC: 60G44 60G40 60G07 60H30 91G40 PDFBibTeX XMLCite \textit{M. Jeanblanc}, Lect. Notes Math. 2313, 95--114 (2023; Zbl 1525.60052) Full Text: DOI
Rogers, L. C. G. What next? (English) Zbl 1525.60051 Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 87-94 (2023). MSC: 60G40 91G60 90C39 90C40 PDFBibTeX XMLCite \textit{L. C. G. Rogers}, Lect. Notes Math. 2313, 87--94 (2023; Zbl 1525.60051) Full Text: DOI
Baadi, Brahim; Marzougue, Mohamed Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle. (English) Zbl 1525.60069 Random Oper. Stoch. Equ. 31, No. 4, 351-370 (2023). MSC: 60H10 60G40 60G55 PDFBibTeX XMLCite \textit{B. Baadi} and \textit{M. Marzougue}, Random Oper. Stoch. Equ. 31, No. 4, 351--370 (2023; Zbl 1525.60069) Full Text: DOI arXiv
Yang, Xiangfeng; Ke, Hua Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption. (English) Zbl 07772181 Fuzzy Optim. Decis. Mak. 22, No. 3, 447-462 (2023). MSC: 91G30 91G20 60G40 91G80 PDFBibTeX XMLCite \textit{X. Yang} and \textit{H. Ke}, Fuzzy Optim. Decis. Mak. 22, No. 3, 447--462 (2023; Zbl 07772181) Full Text: DOI
Jeon, Junkee; Oh, Jehan Labor supply flexibility and portfolio selection with early retirement option. (English) Zbl 07771775 Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023). MSC: 91G10 93E20 60G40 49N15 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J. Oh}, Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023; Zbl 07771775) Full Text: DOI
Ech-Chafiq, Zineb El Filali; Labordère, Pierre Henry; Lelong, Jérôme Pricing Bermudan options using regression trees/random forests. (English) Zbl 1528.91073 SIAM J. Financ. Math. 14, No. 4, 1113-1139 (2023). MSC: 91G20 60G40 62L20 91G60 68W25 PDFBibTeX XMLCite \textit{Z. E. F. Ech-Chafiq} et al., SIAM J. Financ. Math. 14, No. 4, 1113--1139 (2023; Zbl 1528.91073) Full Text: DOI arXiv
Zaevski, Tsvetelin Perpetual cancellable American options with convertible features. (English) Zbl 07766691 Mod. Stoch., Theory Appl. 10, No. 4, 367-395 (2023). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{T. Zaevski}, Mod. Stoch., Theory Appl. 10, No. 4, 367--395 (2023; Zbl 07766691) Full Text: DOI
Kordzakhia, N. E.; Novikov, A. A.; Shiryaev, A. N. The Kolmogorov inequality for the maximum of the sum of random variables and its martingale analogues. (English. Russian original) Zbl 07764859 Theory Probab. Appl. 68, No. 3, 457-472 (2023); translation from Teor. Veroyatn. Primen. 68, No. 3, 565-585 (2023). MSC: 60E15 60G44 60J65 60G40 PDFBibTeX XMLCite \textit{N. E. Kordzakhia} et al., Theory Probab. Appl. 68, No. 3, 457--472 (2023; Zbl 07764859); translation from Teor. Veroyatn. Primen. 68, No. 3, 565--585 (2023) Full Text: DOI
Christensen, Sören; Fischer, Simon; Hallmann, Oskar Uniqueness of first passage time distributions via Fredholm integral equations. (English) Zbl 07761646 Stat. Probab. Lett. 203, Article ID 109912, 8 p. (2023). MSC: 60J65 45B05 60G40 PDFBibTeX XMLCite \textit{S. Christensen} et al., Stat. Probab. Lett. 203, Article ID 109912, 8 p. (2023; Zbl 07761646) Full Text: DOI arXiv
Wu, Zhuoshu Optimal stopping problems with a random time horizon. (Abstract of thesis). (English) Zbl 1523.60072 Bull. Aust. Math. Soc. 108, No. 2, 345-346 (2023). MSC: 60G40 35R35 45G10 60J65 60G51 62M20 PDFBibTeX XMLCite \textit{Z. Wu}, Bull. Aust. Math. Soc. 108, No. 2, 345--346 (2023; Zbl 1523.60072) Full Text: DOI
Klimsiak, Tomasz; Rzymowski, Maurycy Nonlinear BSDEs with two optional Doob’s class barriers satisfying weak Mokobodzki’s condition and extended Dynkin games. (English) Zbl 1523.60100 Appl. Math. Optim. 88, No. 3, Paper No. 80, 33 p. (2023). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{T. Klimsiak} and \textit{M. Rzymowski}, Appl. Math. Optim. 88, No. 3, Paper No. 80, 33 p. (2023; Zbl 1523.60100) Full Text: DOI arXiv OA License
Gao, Rong; Yin, Xiaofang American rainbow option pricing formulae in uncertain environment. (English) Zbl 1527.91165 Bull. Malays. Math. Sci. Soc. (2) 46, No. 6, Paper No. 190, 35 p. (2023). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{R. Gao} and \textit{X. Yin}, Bull. Malays. Math. Sci. Soc. (2) 46, No. 6, Paper No. 190, 35 p. (2023; Zbl 1527.91165) Full Text: DOI
Ekström, Erik; Milazzo, Alessandro; Olofsson, Marcus The de Finetti problem with uncertain competition. (English) Zbl 1527.91031 SIAM J. Control Optim. 61, No. 5, 2997-3017 (2023). MSC: 91A27 91A15 60G40 PDFBibTeX XMLCite \textit{E. Ekström} et al., SIAM J. Control Optim. 61, No. 5, 2997--3017 (2023; Zbl 1527.91031) Full Text: DOI
Chen, Xinfu; Lu, Zhengyang; Ma, Jingtang; Shen, Jinye An implicit scheme for American put options. (English) Zbl 1526.91030 J. Sci. Comput. 97, No. 2, Paper No. 42, 25 p. (2023). MSC: 91G60 65M06 91G20 60G40 PDFBibTeX XMLCite \textit{X. Chen} et al., J. Sci. Comput. 97, No. 2, Paper No. 42, 25 p. (2023; Zbl 1526.91030) Full Text: DOI
Limnios, Nikolaos; Swishchuk, Anatoliy Discrete-time semi-Markov random evolutions and their applications. (English) Zbl 07746986 Probability and Its Applications. Cham: Birkhäuser (ISBN 978-3-031-33428-3/hbk; 978-3-031-33431-3/pbk; 978-3-031-33429-0/ebook). xvi, 198 p. (2023). MSC: 60-02 60K15 60K20 92D30 91G20 60G40 PDFBibTeX XMLCite \textit{N. Limnios} and \textit{A. Swishchuk}, Discrete-time semi-Markov random evolutions and their applications. Cham: Birkhäuser (2023; Zbl 07746986) Full Text: DOI
Bignamini, D. A. \(L^2\)-theory for transition semigroups associated to dissipative systems. (English) Zbl 07742933 Stoch. Partial Differ. Equ., Anal. Comput. 11, No. 3, 988-1043 (2023). MSC: 28C10 28C20 35J15 46G12 60G15 60G40 60H15 PDFBibTeX XMLCite \textit{D. A. Bignamini}, Stoch. Partial Differ. Equ., Anal. Comput. 11, No. 3, 988--1043 (2023; Zbl 07742933) Full Text: DOI arXiv
Belomestny, Denis; Schoenmakers, John From optimal martingales to randomized dual optimal stopping. (English) Zbl 1522.91309 Quant. Finance 23, No. 7-8, 1099-1113 (2023). MSC: 91G60 65C05 60G40 60G46 PDFBibTeX XMLCite \textit{D. Belomestny} and \textit{J. Schoenmakers}, Quant. Finance 23, No. 7--8, 1099--1113 (2023; Zbl 1522.91309) Full Text: DOI arXiv
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (English) Zbl 1522.91280 Quant. Finance 23, No. 7-8, 1055-1078 (2023). MSC: 91G20 91G05 60G40 60J28 PDFBibTeX XMLCite \textit{A. MacKay} et al., Quant. Finance 23, No. 7--8, 1055--1078 (2023; Zbl 1522.91280) Full Text: DOI arXiv
Meier, Martin; Sögner, Leopold Hunting for superstars. (English) Zbl 1522.91307 Math. Financ. Econ. 17, No. 3, 335-371 (2023). MSC: 91G50 60G40 PDFBibTeX XMLCite \textit{M. Meier} and \textit{L. Sögner}, Math. Financ. Econ. 17, No. 3, 335--371 (2023; Zbl 1522.91307) Full Text: DOI
Cai, Cheng; De Angelis, Tiziano A change of variable formula with applications to multi-dimensional optimal stopping problems. (English) Zbl 1525.60066 Stochastic Processes Appl. 164, 33-61 (2023). MSC: 60H05 60G44 60J60 60J65 60G40 35R35 PDFBibTeX XMLCite \textit{C. Cai} and \textit{T. De Angelis}, Stochastic Processes Appl. 164, 33--61 (2023; Zbl 1525.60066) Full Text: DOI arXiv
Calogero, Simone A first course in options pricing theory. (English) Zbl 07735013 Other Titles in Applied Mathematics 192. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 978-1-61197-763-9/pbk; 978-1-61197-764-6/ebook). xii, 286 p. (2023). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 91-01 91G20 60G40 60H30 91-04 PDFBibTeX XMLCite \textit{S. Calogero}, A first course in options pricing theory. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (2023; Zbl 07735013) Full Text: DOI
An, Lifen; Cohen, Samuel N.; Ji, Shaolin Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation. (English) Zbl 07733584 Electron. J. Probab. 28, Paper No. 99, 24 p. (2023). MSC: 60H10 60G40 91G80 PDFBibTeX XMLCite \textit{L. An} et al., Electron. J. Probab. 28, Paper No. 99, 24 p. (2023; Zbl 07733584) Full Text: DOI arXiv Link
Zhang, Rangrang On the small time asymptotics of quasilinear parabolic stochastic partial differential equations. (English) Zbl 1525.60040 Potential Anal. 59, No. 2, 467-495 (2023). Reviewer: Dejun Luo (Beijing) MSC: 60F10 60H15 60G40 PDFBibTeX XMLCite \textit{R. Zhang}, Potential Anal. 59, No. 2, 467--495 (2023; Zbl 1525.60040) Full Text: DOI arXiv
Landriault, David; Li, Bin; Pedraza, José M. Optimal stopping for exponential Lévy models with weighted discounting. (English) Zbl 1519.91230 SIAM J. Financ. Math. 14, No. 3, 777-811 (2023). MSC: 91G10 60G40 60G51 60G46 PDFBibTeX XMLCite \textit{D. Landriault} et al., SIAM J. Financ. Math. 14, No. 3, 777--811 (2023; Zbl 1519.91230) Full Text: DOI
Nokrane, Ahmed; Alaa, Nour Eddine; Aqel, Fatima Fourth-order nonlinear degenerate problem for image decomposition. (English) Zbl 1521.35212 SN Partial Differ. Equ. Appl. 4, No. 4, Paper No. 31, 25 p. (2023). MSC: 35R35 35K52 35K59 35K65 49J40 60G40 PDFBibTeX XMLCite \textit{A. Nokrane} et al., SN Partial Differ. Equ. Appl. 4, No. 4, Paper No. 31, 25 p. (2023; Zbl 1521.35212) Full Text: DOI
Djehiche, Boualem; Martini, Mattia Time-inconsistent mean-field optimal stopping: a limit approach. (English) Zbl 07725241 J. Math. Anal. Appl. 528, No. 1, Article ID 127582, 26 p. (2023). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 91A16 91A80 PDFBibTeX XMLCite \textit{B. Djehiche} and \textit{M. Martini}, J. Math. Anal. Appl. 528, No. 1, Article ID 127582, 26 p. (2023; Zbl 07725241) Full Text: DOI arXiv
Novikov, Andrey A numerical approach to sequential multi-hypothesis testing for Bernoulli model. (English) Zbl 07723908 Sequential Anal. 42, No. 3, 303-322 (2023). MSC: 62L10 62L15 62F03 60G40 62M02 PDFBibTeX XMLCite \textit{A. Novikov}, Sequential Anal. 42, No. 3, 303--322 (2023; Zbl 07723908) Full Text: DOI arXiv
Mahmoudi, Eisa; Nemati, Zahra; Khalifeh, Ashkan Two-stage estimation of the combination of location and scale parameter of the exponential distribution under the constraint of bounded risk per unit cost index. (English) Zbl 07723904 Sequential Anal. 42, No. 3, 211-227 (2023). MSC: 62L15 60G40 62F12 60K10 PDFBibTeX XMLCite \textit{E. Mahmoudi} et al., Sequential Anal. 42, No. 3, 211--227 (2023; Zbl 07723904) Full Text: DOI
Rosazza Gianin, Emanuela; Sgarra, Carlo Mathematical finance. Theory review and exercises. 2nd corrected and expanded edition. (English) Zbl 07720960 Unitext 149. La Matematica per il 3+2. Cham: Springer (ISBN 978-3-031-28377-2/pbk; 978-3-031-28378-9/ebook). xii, 305 p. (2023). Reviewer: Claudio Fontana (Paris) MSC: 91-01 91G10 91G20 91G30 91G70 60H30 60G40 PDFBibTeX XMLCite \textit{E. Rosazza Gianin} and \textit{C. Sgarra}, Mathematical finance. Theory review and exercises. 2nd corrected and expanded edition. Cham: Springer (2023; Zbl 07720960) Full Text: DOI
Buonaguidi, Bruno Finite horizon sequential detection with exponential penalty for the delay. (English) Zbl 1515.60108 J. Optim. Theory Appl. 198, No. 1, 224-238 (2023). MSC: 60G40 62L10 60J65 62C10 60H30 PDFBibTeX XMLCite \textit{B. Buonaguidi}, J. Optim. Theory Appl. 198, No. 1, 224--238 (2023; Zbl 1515.60108) Full Text: DOI
Marzougue, Mohamed; El Otmani, Mohamed Irregular barrier reflected BSDEs driven by a Lévy process. (English) Zbl 1515.60206 Stochastic Anal. Appl. 41, No. 4, 734-751 (2023). MSC: 60H10 60G40 60H20 60H30 PDFBibTeX XMLCite \textit{M. Marzougue} and \textit{M. El Otmani}, Stochastic Anal. Appl. 41, No. 4, 734--751 (2023; Zbl 1515.60206) Full Text: DOI
Zhu, Song-Ping; Zheng, Yawen An integral equation approach for pricing American put options under regime-switching model. (English) Zbl 1515.91163 Int. J. Comput. Math. 100, No. 7, 1454-1479 (2023). MSC: 91G60 65C30 65R20 91G20 60G40 PDFBibTeX XMLCite \textit{S.-P. Zhu} and \textit{Y. Zheng}, Int. J. Comput. Math. 100, No. 7, 1454--1479 (2023; Zbl 1515.91163) Full Text: DOI
Engsner, Hampus; Lindskog, Filip; Thøgersen, Julie Multiple-prior valuation of cash flows subject to capital requirements. (English) Zbl 1520.91325 Insur. Math. Econ. 111, 41-56 (2023). MSC: 91G05 60G40 PDFBibTeX XMLCite \textit{H. Engsner} et al., Insur. Math. Econ. 111, 41--56 (2023; Zbl 1520.91325) Full Text: DOI arXiv
Talbi, Mehdi; Touzi, Nizar; Zhang, Jianfeng Dynamic programming equation for the mean field optimal stopping problem. (English) Zbl 1515.60113 SIAM J. Control Optim. 61, No. 4, 2140-2164 (2023). MSC: 60G40 49N80 35Q89 90C39 PDFBibTeX XMLCite \textit{M. Talbi} et al., SIAM J. Control Optim. 61, No. 4, 2140--2164 (2023; Zbl 1515.60113) Full Text: DOI arXiv
Berrhazi, Badr-eddine; El Fatini, Mohamed; Hilbert, Astrid; Mrhardy, Naoual; Pettersson, Roger RBDSDEs with jumps and optional barrier and mean field game with common noise. (English) Zbl 1524.60118 Stochastics 95, No. 4, 615-634 (2023). MSC: 60H10 93E20 60G40 PDFBibTeX XMLCite \textit{B.-e. Berrhazi} et al., Stochastics 95, No. 4, 615--634 (2023; Zbl 1524.60118) Full Text: DOI
Christensen, Sören; Fischer, Simon A new integral equation for Brownian stopping problems with finite time horizon. (English) Zbl 1526.60031 Stochastic Processes Appl. 162, 338-360 (2023). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 91G20 PDFBibTeX XMLCite \textit{S. Christensen} and \textit{S. Fischer}, Stochastic Processes Appl. 162, 338--360 (2023; Zbl 1526.60031) Full Text: DOI arXiv
Ottolini, Andrea; Steinerberger, Stefan Guessing cards with complete feedback. (English) Zbl 07711467 Adv. Appl. Math. 150, Article ID 102569, 16 p. (2023). MSC: 62L99 60G40 PDFBibTeX XMLCite \textit{A. Ottolini} and \textit{S. Steinerberger}, Adv. Appl. Math. 150, Article ID 102569, 16 p. (2023; Zbl 07711467) Full Text: DOI arXiv
Du, Qiang; Zhou, Zhi Nonlocal-in-time dynamics and crossover of diffusive regimes. (English) Zbl 1524.35783 Int. J. Numer. Anal. Model. 20, No. 3, 353-370 (2023). MSC: 35R35 49J40 60G40 PDFBibTeX XMLCite \textit{Q. Du} and \textit{Z. Zhou}, Int. J. Numer. Anal. Model. 20, No. 3, 353--370 (2023; Zbl 1524.35783) Full Text: DOI arXiv
Novikov, Andrey; Novikov, Andrei; Farkhshatov, Fahil Numerical solution of Kiefer-Weiss problems when sampling from continuous exponential families. (English) Zbl 07708164 Sequential Anal. 42, No. 2, 189-209 (2023). MSC: 62L10 62L15 62F03 60G40 62M02 PDFBibTeX XMLCite \textit{A. Novikov} et al., Sequential Anal. 42, No. 2, 189--209 (2023; Zbl 07708164) Full Text: DOI
Mana, Fatima Ezzahra; Guépié, Blaise Kévin; Nikiforov, Igor Sequential detection of an arbitrary transient change profile by the FMA test. (English) Zbl 07708159 Sequential Anal. 42, No. 2, 91-111 (2023). MSC: 62L10 62L15 60G40 62F05 62P30 PDFBibTeX XMLCite \textit{F. E. Mana} et al., Sequential Anal. 42, No. 2, 91--111 (2023; Zbl 07708159) Full Text: DOI
Perkkiö, Ari-Pekka; Treviño-Aguilar, Erick Convex duality for partial hedging of American options: continuous price processes. (English) Zbl 1520.91407 Positivity 27, No. 3, Paper No. 40, 21 p. (2023). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{A.-P. Perkkiö} and \textit{E. Treviño-Aguilar}, Positivity 27, No. 3, Paper No. 40, 21 p. (2023; Zbl 1520.91407) Full Text: DOI
Dammann, Felix; Ferrari, Giorgio Optimal execution with multiplicative price impact and incomplete information on the return. (English) Zbl 1520.91366 Finance Stoch. 27, No. 3, 713-768 (2023). MSC: 91G10 93E20 60G40 PDFBibTeX XMLCite \textit{F. Dammann} and \textit{G. Ferrari}, Finance Stoch. 27, No. 3, 713--768 (2023; Zbl 1520.91366) Full Text: DOI arXiv
Jelito, Damian; Stettner, Łukasz Asymptotics of impulse control problem with multiplicative reward. (English) Zbl 1520.93230 Appl. Math. Optim. 88, No. 1, Paper No. 24, 33 p. (2023). MSC: 93C27 93E20 60J25 60G40 PDFBibTeX XMLCite \textit{D. Jelito} and \textit{Ł. Stettner}, Appl. Math. Optim. 88, No. 1, Paper No. 24, 33 p. (2023; Zbl 1520.93230) Full Text: DOI arXiv
Martinez Arevalo, Carlos D. A generalization of a lemma of Kac. (English) Zbl 1518.28013 Arch. Math. 121, No. 1, 99-107 (2023). Reviewer: Symon Serbenyuk (Kyïv) MSC: 28D05 60G40 PDFBibTeX XMLCite \textit{C. D. Martinez Arevalo}, Arch. Math. 121, No. 1, 99--107 (2023; Zbl 1518.28013) Full Text: DOI
Bartl, Daniel; Wiesel, Johannes Sensitivity of multiperiod optimization problems with respect to the adapted Wasserstein distance. (English) Zbl 1520.91364 SIAM J. Financ. Math. 14, No. 2, 704-720 (2023). MSC: 91G10 93E20 60G40 PDFBibTeX XMLCite \textit{D. Bartl} and \textit{J. Wiesel}, SIAM J. Financ. Math. 14, No. 2, 704--720 (2023; Zbl 1520.91364) Full Text: DOI arXiv
Aksamit, Anna; Li, Libo; Rutkowski, Marek Generalized BSDE and reflected BSDE with random time horizon. (English) Zbl 07707082 Electron. J. Probab. 28, Paper No. 40, 41 p. (2023). MSC: 60H30 60H10 60G40 91G40 PDFBibTeX XMLCite \textit{A. Aksamit} et al., Electron. J. Probab. 28, Paper No. 40, 41 p. (2023; Zbl 07707082) Full Text: DOI Link
Klump, Alexander The inverse first-passage time problem as hydrodynamic limit of a particle system. (English) Zbl 1518.60030 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 42, 29 p. (2023). Reviewer: Fraser Daly (Edinburgh) MSC: 60F05 60J65 60G40 82C22 PDFBibTeX XMLCite \textit{A. Klump}, Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 42, 29 p. (2023; Zbl 1518.60030) Full Text: DOI
Dayanik, Savas; Sezer, Semih O. Model misspecification in discrete time Bayesian online change detection. (English) Zbl 1514.62156 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 30, 27 p. (2023). MSC: 62L10 62L15 62C10 60G40 PDFBibTeX XMLCite \textit{S. Dayanik} and \textit{S. O. Sezer}, Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 30, 27 p. (2023; Zbl 1514.62156) Full Text: DOI
Arve, Malin; Zwart, Gijsbert Optimal procurement and investment in new technologies under uncertainty. (English) Zbl 1518.91308 J. Econ. Dyn. Control 147, Article ID 104605, 19 p. (2023). MSC: 91G50 91B43 60G40 91B26 PDFBibTeX XMLCite \textit{M. Arve} and \textit{G. Zwart}, J. Econ. Dyn. Control 147, Article ID 104605, 19 p. (2023; Zbl 1518.91308) Full Text: DOI
Henderson, Vicky; Hobson, David; Zeng, Matthew Cautious stochastic choice, optimal stopping and deliberate randomization. (English) Zbl 1520.91114 Econ. Theory 75, No. 3, 887-922 (2023). MSC: 91B06 60G40 91B16 PDFBibTeX XMLCite \textit{V. Henderson} et al., Econ. Theory 75, No. 3, 887--922 (2023; Zbl 1520.91114) Full Text: DOI
Talbi, Mehdi; Touzi, Nizar; Zhang, Jianfeng Viscosity solutions for obstacle problems on Wasserstein space. (English) Zbl 1515.60112 SIAM J. Control Optim. 61, No. 3, 1712-1736 (2023). MSC: 60G40 35Q89 49N80 49L25 60H30 PDFBibTeX XMLCite \textit{M. Talbi} et al., SIAM J. Control Optim. 61, No. 3, 1712--1736 (2023; Zbl 1515.60112) Full Text: DOI arXiv