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I develop a numerical algorithm for stochastic impulse control in the spirit of Regression Monte Carlo for optimal stopping.
Classical and impulse stochastic control of the exchange rate using interest rates and reserves
Abel Cadenillas and Fernando Zapatero · 2000
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Valuing American options by simulations: a simple least squares approach
F.A. Longstaff and E.S. Schwartz · 2001
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Regression methods for pricing complex American-style options
John Tsitsiklis and Benjamin Van Roy · 2001
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A class of solvable impulse control problems
Luis HR Alvarez · 2004
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Optimality of an ( s , s ) (s,s) policy with compound Poisson and diffusion demands: A quasi-variational inequalities approach
Alain Bensoussan, RH Liu, and Suresh P Sethi · 2005
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Gaussian processes for machine learning
Christopher KI Williams and Carl Edward Rasmussen · 2006
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A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
Daniel Egloff, Michael Kohler, and Nebojsa Todorovic · 2007
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Applied stochastic control of jump diffusions , volume 498
Bernt Karsten Øksendal and Agnes Sulem · 2007
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On the optimal stochastic impulse control of linear diffusions
Luis HR Alvarez and Jukka Lempa · 2008
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A direct solution method for stochastic impulse control problems of one-dimensional diffusions
Masahiko Egami · 2008
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A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
Michael Kohler · 2008
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The elements of statistical learning: data mining, inference and prediction
T. Hastie, R. Tibshirani, and J. Friedman · 2009
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Inventory management with partially observed nonstationary demand
Erhan Bayraktar and Michael Ludkovski · 2010
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Optimal capital accumulation under price uncertainty and costly reversibility
Luis HR Alvarez · 2011
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De Finetti’s dividend problem and impulse control for a two-dimensional insurance risk process
Irmina Czarna and Zbigniew Palmowski · 2011
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Uncertainty and the trade-off between scale and flexibility in investment
On the solution of general impulse control problems using superharmonic functions
Sören Christensen · 2014
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Explicit investment rules with time-to-build and uncertainty
René Aid, Salvatore Federico, Huyên Pham, and Bertrand Villeneuve · 2015
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( s , s ) (s,s) inventory systems with correlated demands
Jianqiang Hu, Cheng Zhang, and Chenbo Zhu · 2016
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A general verification result for stochastic impulse control problems
Christoph Belak, Sören Christensen, and Frank Thomas Seifried · 2017
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Convergence of implicit schemes for Hamilton–Jacobi–Bellman quasi-variational inequalities
Parsiad Azimzadeh, Erhan Bayraktar, and George Labahn · 2018
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Optimal dividend payments for a two-dimensional insurance risk process
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Graeme Guthrie · 2012
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mlOSP: Towards a unified implementation of regression Monte Carlo algorithms
Mike Ludkovski · 2012
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Impulse control of multidimensional jump diffusions in finite time horizon
Yann-Shin Aaron Chen and Xin Guo · 2013
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Optimal dividends in the dual model under transaction costs
Erhan Bayraktar, Andreas E Kyprianou, and Kazutoshi Yamazaki · 2014
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Optimal harvesting under resource stock and price uncertainty
Luis HR Alvarez and Erkki Koskela
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Taxation and rotation age under stochastic forest stand value
Luis HR Alvarez and Erkki Koskela
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Stochastic impulse control problem with state and time dependent cost functions
Brahim El Asri and Sehail Mazid
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Pablo Azcue, Nora Muler, and Zbigniew Palmowski · 2019
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Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
Matteo Basei · 2019
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Sequential capacity expansion options
Alain Bensoussan and Benoît Chevalier-Roignant · 2019
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Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
Salvatore Federico, Mauro Rosestolato, and Elisa Tacconi · 2019
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