A balance sheet optimal multi-modes switching problem
Author:
Funder
Académie Hassan II des Sciences et Techniques
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s13370-019-00719-7.pdf
Reference32 articles.
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3. Bayraktar, E., Egami, M.: On the one-dimensional optimal switching problem. Math. Oper. Res. 35(1), 140–159 (2010)
4. Bouchard, B.: A stochastic target formulation for optimal switching problems in finite horizon. Stoch. Int. J. Probab. Stoch. Proc. 81(2), 171–197 (2009)
5. Brekke, K.-A., Øksendal, B.: Optimal switching in an economic activity under uncertainty. SIAM J. Control Optim. 32(4), 1021–1036 (1994)
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1. Multidimensional BSDEs with Mixed Reflections and Balance Sheet Optimal Switching Problem;Lecture Notes in Computer Science;2020
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