A full balance sheet two-mode optimal switching problem
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Publication:2804000
DOI10.1080/17442508.2014.991324zbMath1343.60046MaRDI QIDQ2804000
Publication date: 27 April 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2014.991324
stopping time; backward stochastic differential equations; real options; impulse control; optimal switching; Snell envelope; balance sheet
62P20: Applications of statistics to economics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
Related Items
Mean-field optimal multi-modes switching problem: A balance sheet, A balance sheet optimal multi-modes switching problem
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