Luis H. R. Alvarez

Publication Activity (10 Years)

Years Active: 1999-2017
Publications (10 Years): 1

Top Topics

Operations Management

Optimal Stopping

Top Venues

SIAM J. Control. Optim.

J. Appl. Probab.

Publications

Luis H. R. Alvarez, Pekka Matomäki
Expected Supremum Representation of the Value of a Singular Stochastic Control Problem. SIAM J. Control. Optim. 55 (6) (2017)
Luis H. R. Alvarez, Pekka Matomäki
Optimal Stopping of the Maximum Process. J. Appl. Probab. 51 (3) (2014)
Luis H. R. Alvarez, Pekka Matomäki, Teppo A. Rakkolainen
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions. SIAM J. Control. Optim. 52 (4) (2014)
Luis H. R. Alvarez
Irreversible capital accumulation under interest rate uncertainty. Math. Methods Oper. Res. 72 (2) (2010)
Luis H. R. Alvarez, Teppo A. Rakkolainen
Optimal payout policy in presence of downside risk. Math. Methods Oper. Res. 69 (1) (2009)
Luis H. R. Alvarez, Jukka Lempa
On the Optimal Stochastic Impulse Control of Linear Diffusions. SIAM J. Control. Optim. 47 (2) (2008)
Luis H. R. Alvarez
Stochastic Forest Stand Value and Optimal Timber Harvesting. SIAM J. Control. Optim. 42 (6) (2004)
Luis H. R. Alvarez
On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives. SIAM J. Appl. Math. 63 (3) (2003)
Luis H. R. Alvarez, Jussi Keppo
The impact of delivery lags on irreversible investment under uncertainty. Eur. J. Oper. Res. 136 (1) (2002)
Luis H. R. Alvarez
Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems. SIAM J. Control. Optim. 39 (6) (2001)
Luis H. R. Alvarez
Solving optimal stopping problems of linear diffusions by applying convolution approximations. Math. Methods Oper. Res. 53 (1) (2001)
Luis H. R. Alvarez
Reward functionals, salvage values, and optimal stopping. Math. Methods Oper. Res. 54 (2) (2001)
Luis H. R. Alvarez
Optimal exit and valuation under demand uncertainty: A real options approach. Eur. J. Oper. Res. 114 (2) (1999)