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

DOI10.1142/S0219493719500266zbMATH Open1418.60033OpenAlexW2896972547MaRDI QIDQ5228828FDOQ5228828

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

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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)

Cites Work

• Mean field games
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Mean-field backward stochastic differential equations and related partial differential equations
• Title not available (Why is that?)
• Mean-field backward stochastic differential equations: A limit approach
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Mean-field reflected backward stochastic differential equations
• Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
• 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

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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