On the Starting and Stopping Problem: Application in Reversible Investments

DOI10.1287/MOOR.1060.0228MaRDI QIDQ5388024zbMATH OpenOpenAlexFDO

Authors Said Hamadène, Monique Jeanblanc

Publication date 27 May 2008

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.1060.0228

zbMATH Keywords

stopping timereal optionsBSDEsSnell envelopestopping and starting

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(95)

• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• BSDEs with two reflecting barriers: the general result
• Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
• An overview of unconstrained free boundary problems
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Buy-low and sell-high investment strategies
• An investment model with switching costs and the option to abandon
• Time discretization and quantization methods for optimal multiple switching problem
• Stochastic impulse control with regime-switching dynamics
• Robust classical-impulse stochastic control problems in an infinite horizon
• Discrete-time switching control in random walks
• BSDEs with mean reflection
• Solving singular control from optimal switching
• Quadratic mean-field reflected BSDEs
• Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Multi-dimensional BSDEs with mean reflection
• Applications of an infinite horizon BSDE's to an impulse control problem
• A full balance sheet two-mode optimal switching problem
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• Numerical methods for backward stochastic differential equations: a survey
• Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Capacity expansion games with application to competition in power generation investments
• The explicit solution to a sequential switching problem with non-smooth data
• Reversible stopping (``switching) implies super contact
• Quadratic BSDEs with mean reflection
• Exit option for a class of profit functions
• Stochastic control representations for penalized backward stochastic differential equations
• A PDE approach to regularity of solutions to finite horizon optimal switching problems
• BSDE representations for optimal switching problems with controlled volatility
• Robust portfolio choice and indifference valuation
• Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• \(L^{p}\)-solutions for reflected backward stochastic differential equations
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Optimal multi-modes switching problem in infinite horizon
• Switching problem and related system of reflected backward SDEs
• FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
• Optimal strategies in a production inventory control model
• Optimal switching at Poisson random intervention times
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• Entry and Exit Decision Problem with Implementation Delay
• On the finite horizon optimal switching problem with random lag
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• Systems of BSDES with oblique reflection and related optimal switching problems
• Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition
• Asymptotic expansion for forward-backward SDEs with jumps
• Bayesian switching multiple disorder problems
• Optimal switching strategy of a mean-reverting asset over multiple regimes
• Reflected backward stochastic differential equations with perturbations
• Liquidity risk and optimal dividend/investment strategies
• An existence theorem for multidimensional BSDEs with mixed reflections
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
• Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
• A balance sheet optimal multi-modes switching problem
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
• Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
• Robust feedback switching control: dynamic programming and viscosity solutions
• Switching problems with controlled randomisation and associated obliquely reflected BSDEs
• Systems of quasi-variational inequalities related to the switching problem
• Finite Horizon Impulse control of Stochastic Functional Differential Equations
• Pricing Asset Scheduling Flexibility using Optimal Switching
• The mean field optimal switching problem: variational inequality approach
• \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
• System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains
• Infinite horizon impulse control problem with continuous costs, numerical solutions
• Solution examples of an impulse control problem
• A gradient method for high-dimensional BSDEs
• Optimal stopping of expected profit and cost yields in an investment under uncertainty
• Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
• Sequential systems of reflected backward stochastic differential equations with application to impulse control
• Mean-field reflected backward stochastic differential equations
• Infinite horizon impulse control problem with jumps and continuous switching costs
• On a switching control problem with càdlàg costs
• Discrete approximation of optimal stopping time in the problem of irreversible investment
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
• Optimal stopping problems for a family of continuous-time Markov processes
• \(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
• Application of doubly reflected BSDEs to an impulse control problem
• Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
• Impulse control problem with switching technology
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• Optimal switching between locking down and opening the economy because of an infection
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications

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