Optimal switching at Poisson random intervention times (Q316899): Difference between revisions

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+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
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+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
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+G55
@@ Property / Mathematics Subject Classification ID: 60G55 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / zbMATH DE Number @@
+6631391
@@ Property / zbMATH DE Number: 6631391 / rank @@
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@@ Property / zbMATH Keywords @@
+optimal switching
@@ Property / zbMATH Keywords: optimal switching / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal stopping
@@ Property / zbMATH Keywords: optimal stopping / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Poisson process
@@ Property / zbMATH Keywords: Poisson process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+backward stochastic differential equations
@@ Property / zbMATH Keywords: backward stochastic differential equations / rank @@
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@@ Property / zbMATH Keywords @@
+ordinary differential equations
@@ Property / zbMATH Keywords: ordinary differential equations / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2964061072
@@ Property / OpenAlex ID: W2964061072 / rank @@
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@@ Property / arXiv ID @@
+.5608
@@ Property / arXiv ID: 1309.5608 / rank @@
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@@ Property / cites work @@
+On the One-Dimensional Optimal Switching Problem
@@ Property / cites work: On the One-Dimensional Optimal Switching Problem / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential tracking of a hidden Markov chain using point process observations
+Normal rank
@@ Property / cites work @@
+Optimal Switching in an Economic Activity under Uncertainty
+Normal rank
@@ Property / cites work @@
+Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Pricing Asset Scheduling Flexibility using Optimal Switching
+Normal rank
@@ Property / cites work @@
+Trend Following Trading under a Regime Switching Model
+Normal rank
@@ Property / cites work @@
+Backwards SDE with random terminal time and applications to semilinear elliptic PDE
+Normal rank
@@ Property / cites work @@
+A model for investment decisions with switching costs.
+Normal rank
@@ Property / cites work @@
+Optimal stopping with random intervention times
@@ Property / cites work: Optimal stopping with random intervention times / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+On the Starting and Stopping Problem: Application in Reversible Investments
+Normal rank
@@ Property / cites work @@
+Switching problem and related system of reflected backward SDEs
+Normal rank
@@ Property / cites work @@
+Multi-dimensional BSDE with oblique reflection and optimal switching
+Normal rank
@@ Property / cites work @@
+Optimal stopping with information constraint
@@ Property / cites work: Optimal stopping with information constraint / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
+Normal rank
@@ Property / cites work @@
+Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
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@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
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@@ Property / cites work @@
+Optimal Switching over Multiple Regimes
@@ Property / cites work: Optimal Switching over Multiple Regimes / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of power plants by utility indifference and numerical computation
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@@ Property / cites work @@
+Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
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@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:316899