ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT (Q5193008)
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scientific article; zbMATH DE number 5593343
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT |
scientific article; zbMATH DE number 5593343 |
Statements
ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT (English)
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10 August 2009
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real options
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security design
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backward stochastic differential equation
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abandonment risk
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Snell envelope
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stopping time
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stopping and starting
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optimal switching
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viscosity solution of PDEs
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variational inequalities
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