Mean-field optimal multi-modes switching problem: A balance sheet
DOI10.1142/S0219493719500266zbMath1418.60033OpenAlexW2896972547MaRDI QIDQ5228828
M'hamed Eddahbi, Youssef Ouknine, Imade Fakhouri
Publication date: 13 August 2019
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493719500266
stopping timereal optionsoptimal switchingSnell envelopebalance sheetreflected backward SDEmean-field backward SDEmean-field reflected backward SDE
Applications of statistics to economics (62P20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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