ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT

DOI10.1142/S0219024909005312zbMath1180.60036OpenAlexW2159733300MaRDI QIDQ5193008

Boualem Djehiche, Said Hamadène

Publication date: 10 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005312

zbMATH Keywords

variational inequalitiesstopping timereal optionsbackward stochastic differential equationoptimal switchingSnell envelopeviscosity solution of PDEssecurity designabandonment riskstopping and starting

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (15)

An investment model with switching costs and the option to abandon ⋮ The finite horizon optimal multi-modes switching problem: the viscosity solution approach ⋮ System of variational inequalities with interconnected obstacles ⋮ Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions ⋮ An overview of unconstrained free boundary problems ⋮ Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness ⋮ L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation ⋮ Switching problem and related system of reflected backward SDEs ⋮ The explicit solution to a sequential switching problem with non-smooth data ⋮ A full balance sheet two-mode optimal switching problem ⋮ Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type ⋮ A balance sheet optimal multi-modes switching problem ⋮ A PDE approach to regularity of solutions to finite horizon optimal switching problems ⋮ BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES

Cites Work

• A model for investment decisions with switching costs.
• A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Reflected BSDE's with discontinuous barrier and application
• On the Starting and Stopping Problem: Application in Reversible Investments
• Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications

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