Pricing Asset Scheduling Flexibility using Optimal Switching
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- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
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Cited in
(39)- Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
- Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
- On a switching control problem with càdlàg costs
- Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
- Time discretization and quantization methods for optimal multiple switching problem
- An investment model with switching costs and the option to abandon
- Valuation of energy storage: an optimal switching approach
- The mean field optimal switching problem: variational inequality approach
- On the finite horizon optimal switching problem with random lag
- Valuing switching options with the moving-boundary method
- A zero-sum hybrid stochastic differential game with switching controls
- The explicit solution to a sequential switching problem with non-smooth data
- Optimal decision policy for real options under general Markovian dynamics
- Optimal switching at Poisson random intervention times
- Diagonally quadratic BSDE with oblique reflection and optimal switching
- Optimal Quantization for the Pricing of Swing Options
- Multi-dimensional BSDE with oblique reflection and optimal switching
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
- An existence theorem for multidimensional BSDEs with mixed reflections
- Optimal switching under a hybrid diffusion model and applications to stock trading
- When are swing options bang-bang?
- A limited-feedback approximation scheme for optimal switching problems with execution delays
- Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
- A finite horizon optimal switching problem with memory and application to controlled SDDEs
- Multi-dimensional BSDEs with mean reflection
- Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
- Discrete-time approximation of multidimensional BSDEs with oblique reflections
- Deep signature algorithm for multidimensional path-dependent options
- Stochastic optimal switching problem with non signed switching payments
- Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
- Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
- Management strategies for run-of-river hydropower plants: an optimal switching approach
- Swing options valuation: a BSDE with constrained jumps approach
- A balance sheet optimal multi-modes switching problem
- scientific article; zbMATH DE number 7447402 (Why is no real title available?)
- BSDE representations for optimal switching problems with controlled volatility
- Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
- Optimal liquidation through a limit order book: a neural network and simulation approach
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