Time discretization and quantization methods for optimal multiple switching problem

DOI10.1016/j.spa.2012.02.008zbMath1245.65008arXiv1109.5256MaRDI QIDQ424519

Paul Gassiat, Huyên Pham, Idris Kharroubi

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.5256

zbMATH Keywords

Markov chains; optimal switching; discrete-time approximation; numerical probability; quantization of random variables

Mathematics Subject Classification ID

93E20: Optimal stochastic control

65N50: Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

An investment model with switching costs and the option to abandon, Optimal decision policy for real options under general Markovian dynamics, Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs

Cites Work

• Unnamed Item
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• Switching problem and related system of reflected backward SDEs
• Continuous-time stochastic control and optimization with financial applications
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Brownian optimal stopping and random walks
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Functional quantization rate and mean regularity of processes with an application to Lévy processes
• Error analysis of the optimal quantization algorithm for obstacle problems.
• On the Moments of the Modulus of Continuity of Itô Processes
• A Finite Horizon Optimal Multiple Switching Problem
• Pricing Asset Scheduling Flexibility using Optimal Switching
• AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
• On the Starting and Stopping Problem: Application in Reversible Investments