BSDE representations for optimal switching problems with controlled volatility

DOI10.1142/S0219493714500038zbMath1291.93326MaRDI QIDQ5170133

Idris Kharroubi, Romuald Elie

Publication date: 18 July 2014

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

stochastic controlreflected BSDEswitching problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (12)

An investment model with switching costs and the option to abandon ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes ⋮ On the finite horizon optimal switching problem with random lag ⋮ Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs ⋮ Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

Cites Work

• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
• Valuation of power plants by utility indifference and numerical computation
• Switching problem and related system of reflected backward SDEs
• Probabilistic representation and approximation for coupled systems of variational inequalities
• Stochastic impulse control of non-Markovian processes
• Multi-dimensional BSDE with oblique reflection and optimal switching
• A Finite Horizon Optimal Multiple Switching Problem
• Pricing Asset Scheduling Flexibility using Optimal Switching
• On the Starting and Stopping Problem: Application in Reversible Investments

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