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Approximation of the Value Function of an Optimal Stopping Problem for Piecewise Deterministic Markov Processes
(Luniver Press, 2010)Chapitre d'ouvrage -
Numerical Method for Control of Piecewise-Deterministic Markov Processes
(Wiley, 2018)Chapitre d'ouvrage -
Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.
(Walter de Gruyter, 2009)Chapitre d'ouvrage