Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
From MaRDI portal
Publication:5254887
DOI10.1137/130942681zbMath1328.60139arXiv1302.0480OpenAlexW1896701921MaRDI QIDQ5254887
Publication date: 10 June 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.0480
optimal controlpenalizationoptimal stoppingregime switchingbackward stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (6)
On Some Ergodic Impulse Control Problems with Constraint ⋮ Optimal switching at Poisson random intervention times ⋮ On Some Impulse Control Problems with Constraint ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems ⋮ On Some Optimal Stopping Problems with Constraint ⋮ Dynkin Games with Poisson Random Intervention Times
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal switching at Poisson random intervention times
- Quadratic reflected BSDEs with unbounded obstacles
- Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
- Reflected BSDE with a constraint and its applications in an incomplete market
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
- Switching problem and related system of reflected backward SDEs
- On randomized stopping
- Intensity-based framework and penalty formulation of optimal stopping problems
- Hybrid switching diffusions. Properties and applications
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Backward stochastic differential equations with constraints on the gains-process
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- BSDEs with regime switching: weak convergence and applications
- Multi-dimensional BSDE with oblique reflection and optimal switching
- Optimal stopping with information constraint
- The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
- Representations and regularities for solutions to BSDEs with reflections
- Discrete-time approximation for continuously and discretely reflected BSDEs
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Backward Stochastic Differential Equations in Finance
- Optimal stopping with random intervention times
- On the Starting and Stopping Problem: Application in Reversible Investments
- Reflected backward stochastic differential equations with two RCLL barriers
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
This page was built for publication: Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
