Infinite horizon impulse control problem with continuous costs, numerical solutions (Q4584684): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/17442508.2017.1307985
+Normal rank
@@ Property / OpenAlex ID @@
+W2781802837
@@ Property / OpenAlex ID: W2781802837 / rank @@
+Normal rank
@@ Property / cites work @@
+Application of doubly reflected BSDEs to an impulse control problem
+Normal rank
@@ 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 @@
+Discrete-time approximation for continuously and discretely reflected BSDEs
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A discrete-time approximation for doubly reflected BSDEs
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with reflection and Dynkin games
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Error expansion for the discretization of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
+Normal rank
@@ Property / cites work @@
+On the Starting and Stopping Problem: Application in Reversible Investments
+Normal rank
@@ Property / cites work @@
+Q4357505
@@ Property / cites work: Q4357505 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2772020
@@ Property / cites work: Q2772020 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of Binomial Tree Methods for European/American Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+On the rate of convergence of the binomial tree scheme for American options
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
+Normal rank