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2. Flexible forward improvement iteration for infinite time horizon Markovian optimal stopping problems. (2021). Christensen, Soren ; Lemburg, Julian Peter ; Irle, Albrecht.
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3. Solving high-dimensional optimal stopping problems using deep learning. (2021). Welti, Timo ; Becker, Sebastian ; Cheridito, Patrick ; Jentzen, Arnulf.
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4. Are American options European after all?. (2020). Christensen, Soren ; Lenga, Matthias ; Kallsen, Jan.
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6. SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS. (2018). Kawai, Reiichiro ; Bhim, Louis.
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1. Control-stopping Games for Market Microstructure and Beyond. (2019). Nadtochiy, Sergey ; Gayduk, Roman.
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2. A Dynkin game on assets with incomplete information on the return. (2019). Gensbittel, Fabien ; de Angelis, Tiziano ; Villeneuve, St'Ephane.
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   RePEc:arx:papers:1705.07352.

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3. Optimal Trading with a Trailing Stop. (2019). Leung, Tim ; Zhang, Hongzhong.
   In: Papers.
   RePEc:arx:papers:1701.03960.

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4. Diffusion transformations, Black-Scholes equation and optimal stopping. (2018). Cetin, Umut.
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   RePEc:ehl:lserod:87261.

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5. Stochastic Switching Games. (2018). Ludkovski, Michael ; Li, Liangchen.
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   RePEc:arx:papers:1807.03893.

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6. A Direct Solution Method for Pricing Options in Regime-switching Models. (2018). Kevkhishvili, Rusudan ; Egami, Masahiko.
   In: Papers.
   RePEc:arx:papers:1711.08883.

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7. A Dynkin game on assets with incomplete information on the return. (2017). Gensbittel, Fabien ; de Angelis, Tiziano ; Villeneuve, Stephane.
   In: TSE Working Papers.
   RePEc:tse:wpaper:31754.

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8. Timing in the presence of directional predictability: optimal stopping of skew Brownian motion. (2017). Alvarez, Luis ; Salminen, Paavo.
   In: Mathematical Methods of Operations Research.
   RePEc:spr:mathme:v:86:y:2017:i:2:d:10.1007_s00186-017-0602-4.

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9. A direct solution method for pricing options involving the maximum process. (2017). Oryu, Tadao ; Egami, Masahiko.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0343-5.

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10. Optimal stopping investment in a logarithmic utility-based portfolio selection problem. (2017). Li, Xun ; Wu, Xianping ; Zhou, Wenxin.
    In: Financial Innovation.
    RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0080-y.

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11. Real option valuation for reserve capacity. (2017). Moriarty, John ; Palczewski, Jan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:257:y:2017:i:1:p:251-260.

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12. Capacity expansion games with application to competition in power generation investments. (2017). Aid, Rene ; Ludkovski, Michael ; Li, Liangchen.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:84:y:2017:i:c:p:1-31.

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13. Costly sequential experimentation and project valuation with an application to health technology assessment. (2017). , Jacco ; Bregantini, Daniele .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:77:y:2017:i:c:p:202-229.

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14. Optimal entry to an irreversible investment plan with non convex costs. (2016). de Angelis, Tiziano ; Martyr, Randall ; Moriarty, John ; Ferrari, Giorgio.
    In: Center for Mathematical Economics Working Papers.
    RePEc:bie:wpaper:566.

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15. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. (2016). de Angelis, Tiziano ; Moriarty, John ; Ferrari, Giorgio.
    In: Center for Mathematical Economics Working Papers.
    RePEc:bie:wpaper:563.

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16. A solvable two-dimensional singular stochastic control problem with non convex costs. (2016). de Angelis, Tiziano ; Moriarty, John ; Ferrari, Giorgio.
    In: Center for Mathematical Economics Working Papers.
    RePEc:bie:wpaper:561.

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17. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. (2016). de Angelis, Tiziano ; Moriarty, John ; Ferrari, Giorgio.
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18. Optimal reinsurance with both proportional and fixed costs. (2015). Zhou, Ming ; Li, Peng ; Yin, Chuancun.
    In: Statistics & Probability Letters.
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19. On the smoothness of value functions and the existence of optimal strategies in diffusion models. (2015). Szydlowski, Martin ; Strulovici, Bruno.
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    RePEc:eee:jetheo:v:159:y:2015:i:pb:p:1016-1055.

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20. Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time. (2014). Stockbridge, R..
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    RePEc:spr:metrik:v:77:y:2014:i:1:p:137-162.

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21. Optimal stopping in infinite horizon: An eigenfunction expansion approach. (2014). Linetsky, Vadim.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:85:y:2014:i:c:p:122-128.

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22. On the solution of general impulse control problems using superharmonic functions. (2014). Christensen, Soren.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:124:y:2014:i:1:p:709-729.

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23. RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL-OVER DEBT. (2014). Décamps, Jean-Paul ; Villeneuve, Stephane ; Decamps, Jean-Paul.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:24:y:2014:i:1:p:66-96.

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24. GAME CALL OPTIONS REVISITED. (2014). Zhou, W ; Yung, S P.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:24:y:2014:i:1:p:173-206.

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25. A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI-INFINITE LINEAR PROGRAMMING. (2014). Christensen, Soren.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:24:y:2014:i:1:p:156-172.

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26. Optimal Investment with Stopping in Finite Horizon. (2014). Li, Xun ; Jian, Xiongfei ; Yi, Fahuai.
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    RePEc:arx:papers:1406.6940.

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27. Optimal decision under ambiguity for diffusion processes. (2013). Christensen, Soren.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:77:y:2013:i:2:p:207-226.

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28. On solvability of a two-sided singular control problem. (2012). Matomaki, Pekka.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:76:y:2012:i:3:p:239-271.

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29. An optimal stopping problem with a reward constraint. (2012). Detemple, Jerome ; Tian, Weidong ; Xiong, Jie.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:16:y:2012:i:3:p:423-448.

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30. Prospect Theory, Liquidation, and the Disposition Effect. (2012). Henderson, Vicky.
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    RePEc:inm:ormnsc:v:58:y:2012:i:2:p:445-460.

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31. Rethinking Dynamic Capital Structure Models with Roll-Over Debt. (2011). villeneuve, stephane ; Décamps, Jean-Paul.
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    RePEc:ide:wpaper:7519.

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32. A method for pricing American options using semi-infinite linear programming. (2011). Christensen, Soren.
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    RePEc:arx:papers:1103.4483.

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33. A unified treatment of dividend payment problems under fixed cost and implementation delays. (2010). Bayraktar, Erhan ; Egami, Masahiko.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:71:y:2010:i:2:p:325-351.

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34. A game options approach to the investment problem with convertible debt financing. (2010). Egami, Masahiko.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:8:p:1456-1470.

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35. Harvesting and recovery decisions under uncertainty. (2010). Shackleton, Mark ; Sodal, Sigbjorn.
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    RePEc:eee:dyncon:v:34:y:2010:i:12:p:2533-2546.

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36. A continuous-time search model with job switch and jumps. (2009). Xu, Mingxin ; Egami, Masahiko.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:70:y:2009:i:2:p:241-267.

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37. Risk-Hedging in Real Estate Markets. (2009). Miao, Hong.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:16:y:2009:i:4:p:265-285.

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38. Optimal reinsurance strategy under fixed cost and delay. (2009). Young, Virginia R. ; Egami, Masahiko.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:3:p:1015-1034.

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39. A framework for the study of expansion options, loan commitments and agency costs. (2009). Egami, Masahiko.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:15:y:2009:i:3:p:345-357.

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40. A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays. (2009). Bayraktar, Erhan ; Egami, Masahiko.
    In: Papers.
    RePEc:arx:papers:math/0703825.

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41. The Optimal Stopping Problem of Dupuis and Wang: A Generalization. (2008). Lempa, Jukka.
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42. On infinite horizon optimal stopping of general random walk. (2008). Lempa, Jukka.
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    RePEc:spr:mathme:v:67:y:2008:i:2:p:257-268.

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43. Optimal Stopping of Linear Diffusions with Random Discounting. (2008). Dayanik, Savas.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:33:y:2008:i:3:p:645-661.

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44. Optimal Multiple Stopping of Linear Diffusions. (2008). Dayanik, Savas ; Carmona, Rene.
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    RePEc:inm:ormoor:v:33:y:2008:i:2:p:446-460.

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45. An Analysis of Monotone Follower Problems for Diffusion Processes. (2008). Bayraktar, Erhan ; Egami, Masahiko.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:33:y:2008:i:2:p:336-350.

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46. Optimal dividend policy and growth option. (2007). villeneuve, stephane ; Décamps, Jean-Paul ; Decamps, Jean-Paul.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:1:p:3-27.

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47. A Bayesian-martingale approach to the general disorder problem. (2007). Kavtaradze, T. ; Muliere, P. ; Lazrieva, N. ; Mania, M..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:117:y:2007:i:8:p:1093-1120.

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48. The effects of implementation delay on decision-making under uncertainty. (2007). Bayraktar, Erhan ; Egami, Masahiko.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:117:y:2007:i:3:p:333-358.

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49. On Infinite Horizon Optimal Stopping of General Random Walk. (2006). Lempa, Jukka.
    In: Discussion Papers.
    RePEc:tkk:dpaper:dp3.

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50. Properties of game options. (2006). Ekstrom, Erik.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:63:y:2006:i:2:p:221-238.

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