Kurt Helmes, 280, Stochastic Theory and Control, 2006, 185
Роман Валерьевич Иванов, Roman Valer'evich Ivanov, Альберт Николаевич Ширяев, Albert Nikolaevich Shiryaev, “О принципе дуальности для хеджирующих стратегий в диффузионных моделях”, ТВП, 56, № 3, 2011, 417
Pavel V. Gapeev, Neofytos Rodosthenous, “Perpetual American options in diffusion-type models with running maxima and drawdowns”, Stochastic Processes and their Applications, 126, № 7, 2016, 2038
R. V. Ivanov, A. N. Shiryaev, “On Duality Principle for Hedging Strategies in Diffusion Models”, Theory Probab. Appl., 56, № 3, 2012, 376
ATSUO SUZUKI, KATSUSHIGE SAWAKI, “THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES”, Asia Pac. J. Oper. Res., 27, № 02, 2010, 227
Pavel V. Gapeev, “Optimal stopping problems for running minima with positive discounting rates”, Statistics & Probability Letters, 167, 2020, 108899
A. E. Kyprianou, M. R. Pistorius, “Perpetual options and Canadization through fluctuation theory”, Ann. Appl. Probab., 13, № 3, 2003
Wenyuan Wang, Xiaowen Zhou, “General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes”, J. Appl. Probab., 55, № 2, 2018, 513
Albert N. Shiryaev, 93, Stochastic Disorder Problems, 2019, 367
Florin Avram, Danijel Grahovac, Ceren Vardar-Acar, “TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems”, ESAIM: PS, 24, 2020, 454