On the Starting and Stopping Problem: Application in Reversible Investments

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)

Cited In (92)

A gradient method for high-dimensional BSDEs
\(\mathbb{L}^2\)-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
Application of doubly reflected BSDEs to an impulse control problem
On a switching control problem with càdlàg costs
The mean field optimal switching problem: variational inequality approach
System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains
Solution examples of an impulse control problem
Optimal Stopping Problems for a Family of Continuous-Time Markov Processes
Lp - estimates of solutions of backward doubly stochastic differential equations
Sequential systems of reflected backward stochastic differential equations with application to impulse control
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
\(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
Impulse control problem with switching technology
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
Infinite horizon impulse control problem with continuous costs, numerical solutions
Optimal Switching between Locking Down and Opening the Economy Because of an Infection
Mean-field reflected backward stochastic differential equations
Infinite horizon impulse control problem with jumps and continuous switching costs
Optimal pair-trading strategy over long/short/square positions—empirical study
Optimal pair-trading strategy over long/short/square positions—empirical study
A full balance sheet two-mode optimal switching problem
Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
Systems of BSDES with oblique reflection and related optimal switching problems
Optimal switching strategy of a mean-reverting asset over multiple regimes
Robust Portfolio Choice and Indifference Valuation
Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
An overview of unconstrained free boundary problems
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
Applications of an infinite horizon BSDE's to an impulse control problem
L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
Asymptotic expansion for forward-backward SDEs with jumps
Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
Swing Options Valuation: A BSDE with Constrained Jumps Approach
Switching problem and related system of reflected backward SDEs
BSDEs with mean reflection
Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
Reflected backward stochastic differential equations with perturbations
Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
Time discretization and quantization methods for optimal multiple switching problem
An investment model with switching costs and the option to abandon
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
Stochastic impulse control with regime-switching dynamics
On the finite horizon optimal switching problem with random lag
Switching problems with controlled randomisation and associated obliquely reflected BSDEs
Exit option for a class of profit functions
On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
The explicit solution to a sequential switching problem with non-smooth data
Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
Buy-low and sell-high investment strategies
FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
Quadratic BSDEs with mean reflection
Optimal switching at Poisson random intervention times
Valuation of power plants by utility indifference and numerical computation
Systems of quasi-variational inequalities related to the switching problem
BSDEs with two reflecting barriers: the general result
Quadratic mean-field reflected BSDEs
ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
A PDE approach to regularity of solutions to finite horizon optimal switching problems
Multi-dimensional BSDE with oblique reflection and optimal switching
Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition
L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Optimal strategies in a production inventory control model
An existence theorem for multidimensional BSDEs with mixed reflections
Discrete-time switching control in random walks
Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
Optimal switching under a hybrid diffusion model and applications to stock trading
OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON
Finite Horizon Impulse control of Stochastic Functional Differential Equations
Multi-dimensional BSDEs with mean reflection
Pricing Asset Scheduling Flexibility using Optimal Switching
A finite horizon optimal switching problem with memory and application to controlled SDDEs
Numerical methods for backward stochastic differential equations: a survey
Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Bayesian Switching Multiple Disorder Problems
Capacity expansion games with application to competition in power generation investments
Entry and Exit Decision Problem with Implementation Delay
Liquidity risk and optimal dividend/investment strategies
The finite horizon optimal multi-modes switching problem: the viscosity solution approach
Robust feedback switching control: dynamic programming and viscosity solutions
Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
A balance sheet optimal multi-modes switching problem
Robust classical-impulse stochastic control problems in an infinite horizon
Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type
BSDE representations for optimal switching problems with controlled volatility
Solving singular control from optimal switching
Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation

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