A Finite Horizon Optimal Multiple Switching Problem
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Publication:3581043
DOI10.1137/070697641zbMath1196.60069arXiv0707.2663MaRDI QIDQ3581043
Said Hamadène, Boualem Djehiche, Alexandre Popier
Publication date: 16 August 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0707.2663
variational inequalities; stopping time; backward stochastic differential equations; real options; impulse control; optimal switching; Snell envelope
62P20: Applications of statistics to economics
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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