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

DOI10.1142/S0219024909005312zbMath1180.60036MaRDI 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 inequalities; stopping time; real options; backward stochastic differential equation; optimal switching; Snell envelope; viscosity solution of PDEs; security design; abandonment risk; stopping and starting

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

91G50: Corporate finance (dividends, real options, etc.)

Related Items

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

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