REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING

DOI10.1111/mafi.12085zbMath1414.91403OpenAlexW1893729019MaRDI QIDQ2968279

George Yin, SingRu (Celine) Hoe, Zhongfeng Yan, Alain Bensoussan

Publication date: 13 March 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12085

zbMATH Keywords

game theoryvariational inequalityregime switchingoptimal stopping problemirreversible investmentreal option

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)

Related Items

A survey of numerical solutions for stochastic control problems: some recent progress, Investment flexibility as a barrier to entry, A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems, Numerical Methods for Controlled Switching Diffusions, Stochastic impulse control with regime-switching dynamics, Investment decisions under incomplete markets in the presence of wealth effects, Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

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