On the properties of r-excessive mappings for a class of diffusions

Annals of Applied Probability

Volumn 13, Issue 4, 2003, Pages 1517-1533

  Alvarez, Luis H R ^a  

^a UNIVERSITY OF TURKU   (Finland)

Author keywords

Convex inequalities; Fundamental solutions; Linear diffusions; Optimal stopping; r excessive mappings; r harmonic mappings

Indexed keywords

EID: 0346913243     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1069786509     Document Type: Article

References (15)

1. ALVAREZ, L. H. R. (1996). Demand uncertainty and the value of supply opportunities. J. Econom. 64 163-175.
2. ALVAREZ, L. H. R. (1998). Optimal timing of production opportunities. Research Report A25, Inst. Appl. Math., Univ. Turku.
3. ALVAREZ, L. H. R. (1998). Exit strategies and price uncertainty: A Greenian approach. J. Math. Econom. 29 43-56.
4. ALVAREZ, L. H. R. (1999). A class of solvable singular stochastic control problems. Stochastics Stochastics Rep. 67 83-122.
5. ALVAREZ, L. H. R. (2000). On the option interpretation of rational harvesting planning. J. Math. Biol. 40 383-405.
6. ALVAREZ, L. H. R. (2001). Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems. SIAM J. Control Optim. 39 1697-1710.
7. BORODIN, A. and SALMINEN, P. (1996). Handbook on Brownian Motion - Facts and Formulae. Birkhäuser, Basel.
8. DIXIT, A. K. and PINDYCK, R. S. (1994). Investment Under Uncertainty. Princeton Univ. Press.
9. DYNKIN, E. (1965). Markov Processes 2. Springer, Berlin.
10. FLEMING, W. H. and SONER, H. M. (1993). Controlled Markov Processes and Viscosity Solutions. Springer, New York.
11. ITO, K. and McKEAN, H. P., Jr. (1965). Diffusion Processes and Their Sample Paths. Springer, Berlin.
12. KARLIN, S. and TAYLOR, H. (1981). A Second Course in Stochastic Processes. Academic, Orlando.
13. MANDL, P. (1968). Analytical Treatment of One-Dimensional Markov Processes. Springer, Prague.
14. ØKSENDAL, B. (1998). Stochastic Differential Equations: An Introduction with Applications, 5th ed. Springer, Berlin.
15. SALMINEN, P. (1985). Optimal stopping of one-dimensional diffusions. Math. Nachr. 124 85-101.