A full balance sheet two-mode optimal switching problem
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backward stochastic differential equationsbalance sheetimpulse controloptimal switchingreal optionsSnell envelopestopping time
Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistics to economics (62P20) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cites work
- A finite horizon optimal multiple switching problem
- A mixed singular/switching control problem for a dividend policy with reversible technology investment
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
- A PDE approach to regularity of solutions to finite horizon optimal switching problems
- A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
- Discrete-time approximation of multidimensional BSDEs with oblique reflections
- Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
- Multi-dimensional BSDE with oblique reflection and optimal switching
- ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
- On the Starting and Stopping Problem: Application in Reversible Investments
- Optimal Switching over Multiple Regimes
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Probabilistic representation and approximation for coupled systems of variational inequalities
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
- The finite horizon optimal multi-modes switching problem: the viscosity solution approach
- Valuation of energy storage: an optimal switching approach
- Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
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