Multi-dimensional BSDE with oblique reflection and optimal switching (Q2380763): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2592216957 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 0706.4365 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and integral-partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Asset Scheduling Flexibility using Optimal Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: User’s guide to viscosity solutions of second order partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Finite Horizon Optimal Multiple Switching Problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: SDEs with oblique reflection on nonsmooth domains / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3925594 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected solutions of backward SDE's, and related obstacle problems for PDE's / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equations différentielles stochastiques rétrogrades réfléchies dans un convexe / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Starting and Stopping Problem: Application in Reversible Investments / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the comparison theorem for multidimensional BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations with reflecting boundary conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4151478 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029028 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of power plants by utility indifference and numerical computation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected backward stochastic differential equations in an orthant / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach / rank
 
Normal rank

Latest revision as of 15:56, 2 July 2024

scientific article
Language Label Description Also known as
English
Multi-dimensional BSDE with oblique reflection and optimal switching
scientific article

    Statements

    Multi-dimensional BSDE with oblique reflection and optimal switching (English)
    0 references
    0 references
    0 references
    12 April 2010
    0 references
    multi-dimensional backward stochastic differential equation
    0 references
    penalization method
    0 references
    monotone convergence
    0 references
    a priori estimates
    0 references
    optimal switching problem
    0 references
    viscosity solution
    0 references

    Identifiers