General undiscounted nonlinear optimal multiple stopping of linear diffusions with boundary classification

DOI10.1504/IJMOR.2015.072275zbMath1390.60153OpenAlexW2293599953MaRDI QIDQ1639508

Faouzi Trabelsi, Noureddine Jilani Ben Naouara

Publication date: 13 June 2018

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmor.2015.072275

zbMATH Keywords

energy marketexcessive functionsswing optionsboundary classification: regular, exit, natural and entrance boundariescall on swing optionnonlinear optimal multiple stoppingregular linear diffusion process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

This page was built for publication: General undiscounted nonlinear optimal multiple stopping of linear diffusions with boundary classification