On a switching control problem with càdlàg costs
DOI10.1080/17442508.2021.1914618zbMath1496.60038arXiv1907.03401OpenAlexW3156811101MaRDI QIDQ5086897
Said Hamadène, Yamid A. Osorio-Agudelo, Héctor Jasso-Fuentes
Publication date: 8 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.03401
backward stochastic differential equationsviscosity solutions\(\varepsilon\)-optimal strategiesswitching control
Applications of statistics to economics (62P20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)
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Cites Work
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