Jukka Lempa
jukka.lempa@utu.fi +358 29 450 4309 +358 50 326 3035 Vesilinnantie 5 Turku |
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- Diffusion spiders: Green kernel, excessive functions and optimal stopping (2024)
- Stochastic Processes and their Applications
- Solutions for Poissonian Stopping Problems of Linear Diffusions via Extremal Processes (2024)
- Stochastic Processes and their Applications
- A Zero-Sum Poisson Stopping Game with Asymmetric Signal Rates (2023)
- Applied Mathematics and Optimization
- Hedging temperature risk with CDD and HDD temperature futures (2023)
- Applied Stochastic Models in Business and Industry
- A Note on Asymptotics Between Singular and Constrained Control Problems of One-Dimensional Diffusions (2022)
- Acta Applicandae Mathematicae
- Ergodic control of diffusions with random intervention times (2021)
- Journal of Applied Probability
- Some results on optimal stopping under phase-type distributed implementation delay (2020)
- Mathematical Methods of Operations Research
- A class of solvable multiple entry problems with forced exits (2019)
- Applied Mathematics and Optimization
- Resolvent-Techniques for Multiple Exercise Problems (2015) Sören Christensen, Jukka Lempa
- Bounded variation control of Itô diffusions with exogenously restricted intervention times (2014)
- Advances in Applied Probability
- Mathematics of Swing Options: A Survey (2014) Quantitative Energy Finance Jukka Lempa
- Optimal portfolios in commodity futures markets (2014) Fred Espen Benth, Jukka Lempa
- Swing options in commodity markets: a multidimensional Lévy diffusion model (2014)
- Mathematical Methods of Operations Research
- A Dynkin game with asymmetric information (2013)
- Stochastics: An International Journal of Probability and Stochastic Processes
- Optimal stopping with information constraint (2012)
- Applied Mathematics and Optimization
- Optimal stopping with random exercise lag (2012)
- Mathematical Methods of Operations Research
- On the optimal exercise of swing options in electricity markets (2011)
- Journal of Energy Markets
- A note on optimal stopping of diffusions with a two-sided optimal rule (2010)
- Operations Research Letters
- On infinite horizon optimal stopping of general random walk (2008) Jukka Lempa
- On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)
- SIAM Journal on Control and Optimization
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