On the Finite Horizon Optimal Switching Problem with Random Lag

Magnus Perninge

Type: Preprint

Publication Date: 2018-08-24

Citations: 1

Locations

arXiv (Cornell University) - View

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+	Reflected BSDE's with discontinuous barrier and application	2002	Saïd Hamadène
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+ PDF Chat	Impulse control problem on finite horizon with execution delay	2008	Benjamin Bruder Huyên Pham
+ PDF Chat	A note on existence and uniqueness for solutions of multidimensional reflected BSDEs	2011	Jean François Chassagneux Romuald Élie Idris Kharroubi
+ PDF Chat	A Finite Horizon Optimal Multiple Switching Problem	2009	Boualem Djehiche Saïd Hamadène Alexandre Popier
+ PDF Chat	A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension	2014	René Aïd Luciano Campi Nicolas Langrené Huyên Pham
+ PDF Chat	Multi-dimensional BSDE with oblique reflection and optimal switching	2009	Ying Hu Shanjian Tang
+ PDF Chat	Optimal switching problems under partial information	2015	Kai Li Kaj Nyström Marcus Olofsson
+ PDF Chat	Explicit Investment Rules with Time-to-Build and Uncertainty	2014	René Aïd Salvatore Federico H. Pham Bertrand Villeneuve