Optimal Switching over Multiple Regimes
From MaRDI portal
Publication:3581019
DOI10.1137/070709372zbMath1205.60089OpenAlexW1991299455MaRDI QIDQ3581019
No author found.
Publication date: 16 August 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/313b0027aa2b0ddc28eb3c5bf3ab9611372c9e58
variational inequalitiesreal optionsviscosity solutionsswitching regionshitting times of Itô diffusionsoptimal multiple switching
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (23)
Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type ⋮ Valuation of power plants by utility indifference and numerical computation ⋮ An investment model with switching costs and the option to abandon ⋮ Optimal Dividend Payment and Regime Switching in a Compound Poisson Risk Model ⋮ Optimal switching at Poisson random intervention times ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Hysteresis due to irreversible exit: addressing the option to mothball ⋮ On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles ⋮ Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process ⋮ Principal-agent problem with multiple principals ⋮ Optimal strategies in a production inventory control model ⋮ Discrete-time approximation of multidimensional BSDEs with oblique reflections ⋮ Liquidity risk and optimal dividend/investment strategies ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Optimal switching under a hybrid diffusion model and applications to stock trading ⋮ A full balance sheet two-mode optimal switching problem ⋮ Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type ⋮ Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach ⋮ BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES ⋮ Robust classical-impulse stochastic control problems in an infinite horizon ⋮ Optimal Switching between Locking Down and Opening the Economy Because of an Infection ⋮ Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations ⋮ Optimal switching strategy of a mean-reverting asset over multiple regimes
This page was built for publication: Optimal Switching over Multiple Regimes
