Optimal Switching of One-Dimensional Reflected BSDEs and Associated Multidimensional BSDEs with Oblique Reflection
DOI10.1137/080738349zbMath1235.93263arXiv0810.3176OpenAlexW2146814280MaRDI QIDQ3224965
Shanjian Tang, Hyeng Keun Koo, Wei Zhong
Publication date: 13 March 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.3176
stochastic differential gameoblique reflectionreflected backward stochastic differential equationoptimal switchingreal option
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)
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