Luis H. R. Alvarez

According to our database, Luis H. R. Alvarez authored at least 13 papers between 1999 and 2017.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2017

Expected Supremum Representation of the Value of a Singular Stochastic Control Problem.

Luis H. R. Alvarez, Pekka Matomäki

SIAM J. Control. Optim., 2017

2014

A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions.

Luis H. R. Alvarez, Pekka Matomäki, Teppo A. Rakkolainen

SIAM J. Control. Optim., 2014

Optimal Stopping of the Maximum Process.

Luis H. R. Alvarez, Pekka Matomäki

J. Appl. Probab., 2014

2010

Irreversible capital accumulation under interest rate uncertainty.

Luis H. R. Alvarez

Math. Methods Oper. Res., 2010

2009

Optimal payout policy in presence of downside risk.

Luis H. R. Alvarez, Teppo A. Rakkolainen

Math. Methods Oper. Res., 2009

2008

On the Optimal Stochastic Impulse Control of Linear Diffusions.

Luis H. R. Alvarez, Jukka Lempa

SIAM J. Control. Optim., 2008

2004

Stochastic Forest Stand Value and Optimal Timber Harvesting.

Luis H. R. Alvarez

SIAM J. Control. Optim., 2004

2003

On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives.

Luis H. R. Alvarez

SIAM J. Appl. Math., 2003

2002

The impact of delivery lags on irreversible investment under uncertainty.

Luis H. R. Alvarez, Jussi Keppo

Eur. J. Oper. Res., 2002

2001

Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems.

Luis H. R. Alvarez

SIAM J. Control. Optim., 2001

Reward functionals, salvage values, and optimal stopping.

Luis H. R. Alvarez

Math. Methods Oper. Res., 2001

Solving optimal stopping problems of linear diffusions by applying convolution approximations.

Luis H. R. Alvarez

Math. Methods Oper. Res., 2001

1999

Optimal exit and valuation under demand uncertainty: A real options approach.

Luis H. R. Alvarez

Eur. J. Oper. Res., 1999