Luis H. R. Alvarez

13 papers Journal 13
YearRankTypeTitle / Venue / Authors
2017 J jnl
Expected Supremum Representation of the Value of a Singular Stochastic Control Problem.
SIAM J. Control. Optim.
Luis H. R. Alvarez, Pekka Matomäki
2014 J jnl
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions.
SIAM J. Control. Optim.
Luis H. R. Alvarez, Pekka Matomäki, Teppo A. Rakkolainen
2014 J jnl
Optimal Stopping of the Maximum Process.
J. Appl. Probab.
Luis H. R. Alvarez, Pekka Matomäki
2010 J jnl
Irreversible capital accumulation under interest rate uncertainty.
Math. Methods Oper. Res.
Luis H. R. Alvarez
2009 J jnl
Optimal payout policy in presence of downside risk.
Math. Methods Oper. Res.
Luis H. R. Alvarez, Teppo A. Rakkolainen
2008 J jnl
On the Optimal Stochastic Impulse Control of Linear Diffusions.
SIAM J. Control. Optim.
Luis H. R. Alvarez, Jukka Lempa
2004 J jnl
Stochastic Forest Stand Value and Optimal Timber Harvesting.
SIAM J. Control. Optim.
Luis H. R. Alvarez
2003 J jnl
On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives.
SIAM J. Appl. Math.
Luis H. R. Alvarez
2002 J jnl
The impact of delivery lags on irreversible investment under uncertainty.
Eur. J. Oper. Res.
Luis H. R. Alvarez, Jussi Keppo
2001 J jnl
Reward functionals, salvage values, and optimal stopping.
Math. Methods Oper. Res.
Luis H. R. Alvarez
2001 J jnl
Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems.
SIAM J. Control. Optim.
Luis H. R. Alvarez
2001 J jnl
Solving optimal stopping problems of linear diffusions by applying convolution approximations.
Math. Methods Oper. Res.
Luis H. R. Alvarez
1999 J jnl
Optimal exit and valuation under demand uncertainty: A real options approach.
Eur. J. Oper. Res.
Luis H. R. Alvarez