A Finite Horizon Optimal Multiple Switching Problem (Q3581043)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Finite Horizon Optimal Multiple Switching Problem |
scientific article |
Statements
A Finite Horizon Optimal Multiple Switching Problem (English)
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16 August 2010
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real options
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backward stochastic differential equations
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Snell envelope
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stopping time
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optimal switching
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impulse control
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variational inequalities
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