Mean-field optimal multi-modes switching problem: a balance sheet

DOI10.1142/S0219493719500266MaRDI QIDQ5228828zbMATH OpenOpenAlexFDO

Authors M'hamed Eddahbi, Imade Fakhouri, Youssef Ouknine

Publication date 13 August 2019

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493719500266

zbMATH Keywords

stopping timereal optionsoptimal switchingSnell envelopebalance sheetreflected backward SDEmean-field backward SDEmean-field reflected backward SDE

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3505964 (Why is no real title available?)
• A full balance sheet two-mode optimal switching problem
• A two-mode mean-field optimal switching problem for the full balance sheet
• Ecole d'ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin
• Mean field games
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Mean-field reflected backward stochastic differential equations
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Cited in

(4)

• A full balance sheet two-mode optimal switching problem
• The mean field optimal switching problem: variational inequality approach
• A two-mode mean-field optimal switching problem for the full balance sheet
• A balance sheet optimal multi-modes switching problem

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