A full balance sheet two-mode optimal switching problem

DOI10.1080/17442508.2014.991324zbMath1343.60046OpenAlexW1809877355MaRDI QIDQ2804000

Ali Hamdi, Boualem Djehiche

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.991324

zbMATH Keywords

stopping timebackward stochastic differential equationsreal optionsimpulse controloptimal switchingSnell envelopebalance sheet

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (2)

A balance sheet optimal multi-modes switching problem ⋮ Mean-field optimal multi-modes switching problem: A balance sheet

Cites Work

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