Switching problem and related system of reflected backward SDEs
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Cites work
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- scientific article; zbMATH DE number 176010 (Why is no real title available?)
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- The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
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- Valuation of Investments in Real Assets with Implications for the Stock Prices
Cited in
(72)- Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
- Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
- Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Systems of BSDES with oblique reflection and related optimal switching problems
- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
- A Brownian optimal switching problem under incomplete information
- Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
- Lp-Solutions for Doubly Reflected Backward Stochastic Differential Equations
- Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
- On a switching control problem with càdlàg costs
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- Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
- 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
- Optimal switching, systems of reflected BSDEs and systems of variational inequalities with inter-connected obstacles
- An investment model with switching costs and the option to abandon
- Obliquely reflected backward stochastic differential equations
- On the finite horizon optimal switching problem with random lag
- System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains
- Switching problems with controlled randomisation and associated obliquely reflected BSDEs
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- Principal-agent problem with multiple principals
- Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions
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- Buy-low and sell-high investment strategies
- Optimal switching at Poisson random intervention times
- Quadratic BSDEs with mean reflection
- Systems of quasi-variational inequalities related to the switching problem
- Diagonally quadratic BSDE with oblique reflection and optimal switching
- Quadratic mean-field reflected BSDEs
- Sequential systems of reflected backward stochastic differential equations with application to impulse control
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
- BSDEs with monotone generator and two irregular reflecting barriers
- Multidimensional dynamic risk measure via conditional \(g\)-expectation
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
- Reflected BSDEs in non-convex domains
- An existence theorem for multidimensional BSDEs with mixed reflections
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- Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
- A two-scale scheme for finite horizon switching problems with delays
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- Reflected BSDEs with jumps in time-dependent convex càdlàg domains
- Stochastic hybrid differential games and match race problems
- Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
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- A finite horizon optimal switching problem with memory and application to controlled SDDEs
- Multi-dimensional BSDEs with mean reflection
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- Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
- Deep signature algorithm for multidimensional path-dependent options
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- Reflected BSDE of Wiener-Poisson type in time-dependent domains
- Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
- A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
- Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs
- Pairs trading under a mean reversion model with regime switching
- Robust feedback switching control: dynamic programming and viscosity solutions
- Probabilistic representation and approximation for coupled systems of variational inequalities
- A balance sheet optimal multi-modes switching problem
- The use of generation stochastic models to study an epidemic disease
- 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
- Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
- BSDE representations for optimal switching problems with controlled volatility
- Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time
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