BSDE representations for optimal switching problems with controlled volatility
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Cites work
- A finite horizon optimal multiple switching problem
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
- Discrete-time approximation of multidimensional BSDEs with oblique reflections
- Multi-dimensional BSDE with oblique reflection and optimal switching
- On the Starting and Stopping Problem: Application in Reversible Investments
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Probabilistic representation and approximation for coupled systems of variational inequalities
- Stochastic impulse control of non-Markovian processes
- Switching problem and related system of reflected backward SDEs
- Valuation of power plants by utility indifference and numerical computation
Cited in
(19)- An investment model with switching costs and the option to abandon
- On the finite horizon optimal switching problem with random lag
- Switching problems with controlled randomisation and associated obliquely reflected BSDEs
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Robust feedback switching control: dynamic programming and viscosity solutions
- Solving BSDE with Adaptive Control Variate
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- Endogenous formation of limit order books: dynamics between trades
- Backward SDEs and infinite horizon stochastic optimal control
- Systems of BSDES with oblique reflection and related optimal switching problems
- Constrained BSDEs driven by a non-quasi-left-continuous random measure and optimal control of PDMPs on bounded domains
- Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
- Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- A randomisation method for mean-field control problems with common noise
- The randomization method in stochastic optimal control
- Optimal impulse control for cyber risk management
- Non-Markovian optimal switching control for hybrid renewable energy systems
- A finite horizon optimal switching problem with memory and application to controlled SDDEs
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