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dc.contributor.authorKharroubi, Idris
dc.contributor.authorElie, Romuald
dc.date.accessioned2011-03-07T11:07:44Z
dc.date.available2011-03-07T11:07:44Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5729
dc.language.isoenen
dc.subjectReflected BSDEen
dc.subjectSwitching problemsen
dc.subjectStochastic controlen
dc.subject.ddc519en
dc.titleBSDE representations for optimal switching problems with controlled volatilityen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenThis paper provides two different strong BSDE representations for optimal switching problems in the case where the dynamics of the underlying diffusion process depends on the current value of the switching mode. These new representations make use of either one-dimensional constrained BSDEs with jumps or multidimensional BSDEs with oblique reflections, thus extending the framework considered by Hu and Tang [11]. In particular, the numerical resolution of the corresponding switching problem can therefore be treated via the entirely probabilistic schemes presented in [3] or [7].en
dc.relation.isversionofjnlnameStochastics and Dynamics
dc.relation.isversionofjnlvol14
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpagesn°1450003
dc.relation.isversionofdoihttp://dx.doi.org/10.1142/S0219493714500038
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00573428/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWorld Scientific
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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