Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time (Q388138): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / zbMATH DE Number @@
+6239381
@@ Property / zbMATH DE Number: 6239381 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+backward stochastic differential equations
@@ Property / zbMATH Keywords: backward stochastic differential equations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+oblique reflection
@@ Property / zbMATH Keywords: oblique reflection / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal switching
@@ Property / zbMATH Keywords: optimal switching / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+unbounded stopping time
@@ Property / zbMATH Keywords: unbounded stopping time / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+switching problem
@@ Property / zbMATH Keywords: switching problem / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2055456708
@@ Property / OpenAlex ID: W2055456708 / rank @@
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@@ Property / arXiv ID @@
+.3433
@@ Property / arXiv ID: 1206.3433 / rank @@
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@@ Property / cites work @@
+Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
+Normal rank
@@ Property / cites work @@
+Pricing Asset Scheduling Flexibility using Optimal Switching
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness for BSDE with stopping time
+Normal rank
@@ Property / cites work @@
+OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Q2772020
@@ Property / cites work: Q2772020 / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-dimensional BSDE with oblique reflection and optimal switching
+Normal rank
@@ Property / cites work @@
+Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
+Normal rank
@@ Property / cites work @@
+Q4263364
@@ Property / cites work: Q4263364 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of power plants by utility indifference and numerical computation
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations with stopping time
+Normal rank
@@ Property / cites work @@
+On solutions of a class of infinite horizon FBSDEs
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:388138