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Viscosity solutions for a system of PDEs and optimal switching
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-3-662-06400-9openalex-snapshot
Continuous Martingales and Brownian Motion
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Continuous Martingales and Brownian Motion
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Les Aspects Probabilistes Du Controle Stochastique
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Valuation of power plants by utility indifference and numerical computation
inferredcites →https://doi.org/10.1007/s00245-009-9071-3openalex-snapshot
The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach
inferredcites →https://doi.org/10.1007/s00245-012-9184-yopenalex-snapshot
Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem
inferredcites →https://doi.org/10.1007/s00440-009-0202-1openalex-snapshot
Multi-dimensional BSDE with oblique reflection and optimal switching
inferredcites →https://doi.org/10.1016/j.spa.2010.01.003openalex-snapshot
Switching problem and related system of reflected backward SDEs
inferredcites →https://doi.org/10.1016/j.spa.2012.09.007openalex-snapshot
Stochastic optimal multi-modes switching with a viscosity solution approach
inferredcites →https://doi.org/10.1016/s0378-4266(97)85585-9openalex-snapshot
Real options: Managerial flexibility and strategy in resource allocation
inferredcites →https://doi.org/10.1051/cocv/2011200openalex-snapshot
Deterministic minimax impulse control in finite horizon: the viscosity solution approach
inferredcites →https://doi.org/10.1080/13504860802170507openalex-snapshot
Pricing Asset Scheduling Flexibility using Optimal Switching
inferredcites →https://doi.org/10.1080/17442500802327360openalex-snapshot
A stochastic target formulation for optimal switching problems in finite horizon
inferredcites →https://doi.org/10.1080/17442509308833860openalex-snapshot
Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
inferredcites →https://doi.org/10.1086/261619openalex-snapshot
Entry and Exit Decisions under Uncertainty
inferredcites →https://doi.org/10.1086/296288openalex-snapshot
Evaluating Natural Resource Investments
inferredcites →https://doi.org/10.1090/s0273-0979-1992-00266-5openalex-snapshot
User’s guide to viscosity solutions of second order partial differential equations
inferredcites →https://doi.org/10.1109/cdc.2000.912763openalex-snapshot
A problem of stochastic impulse control with discretionary stopping
inferredcites →https://doi.org/10.1137/050638783openalex-snapshot
Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
inferredcites →https://doi.org/10.1137/070697641openalex-snapshot
A Finite Horizon Optimal Multiple Switching Problem
inferredcites →https://doi.org/10.1137/s036301290038111xopenalex-snapshot
A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
inferredcites →https://doi.org/10.1137/s0363012992229835openalex-snapshot
Optimal Switching in an Economic Activity under Uncertainty
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Valuation of Investments in Real Assets with Implications for the Stock Prices
inferredcites →https://doi.org/10.1142/s0219024909005312openalex-snapshot
ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
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A Model for Investment Decisions with Switching Costs
inferredcites →https://doi.org/10.1214/aop/1024404416openalex-snapshot
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
inferredcites →https://doi.org/10.1214/aop/1041903216openalex-snapshot
Backward stochastic differential equations with reflection and Dynkin games
inferredcites →https://doi.org/10.1287/moor.1060.0228openalex-snapshot
On the Starting and Stopping Problem: Application in Reversible Investments
inferredcites →https://doi.org/10.1287/moor.1090.0432openalex-snapshot
On the One-Dimensional Optimal Switching Problem
inferredcites →https://doi.org/10.2307/3665939openalex-snapshot
Real Options and Interactions with Financial Flexibility
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.4738092openalex-extracted
A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization
inferred← citeshttps://doi.org/10.1007/978-3-030-50436-6_43openalex-snapshot
Multidimensional BSDEs with Mixed Reflections and Balance Sheet Optimal Switching Problem
inferred← citeshttps://doi.org/10.1007/s00780-025-00583-3openalex-snapshot
A problem of finite-horizon optimal switching and stochastic control for utility maximisation
inferred← citeshttps://doi.org/10.1007/s11081-021-09683-3openalex-snapshot
Management strategies for run-of-river hydropower plants: an optimal switching approach
inferred← citeshttps://doi.org/10.1007/s13370-019-00719-7openalex-snapshot
A balance sheet optimal multi-modes switching problem
inferred← citeshttps://doi.org/10.1007/s40324-018-0159-zopenalex-snapshot
$$\mathbb {L}^2$$ L 2 -solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
inferred← citeshttps://doi.org/10.1016/j.jmaa.2018.11.003openalex-snapshot
Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
inferred← citeshttps://doi.org/10.1016/j.spa.2020.06.001openalex-snapshot
Reflected BSDEs with jumps in time-dependent convex càdlàg domains
inferred← citeshttps://doi.org/10.1016/j.spl.2018.01.006openalex-snapshot
Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
inferred← citeshttps://doi.org/10.1080/00036811.2020.1757076openalex-snapshot
System of variational inequalities with interconnected obstacles
inferred← citeshttps://doi.org/10.1287/moor.2016.0783openalex-snapshot
Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
inferred← citeshttps://doi.org/10.1515/mcma-2014-0013openalex-snapshot
Optimal switching problems under partial information
inferred← citeshttps://doi.org/10.3934/eect.2024048openalex-snapshot
Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
inferred← citeshttps://doi.org/10.48550/arxiv.1503.03367openalex-snapshot
Reflected BSDE of Wiener-Poisson type in Time-dependent Domains
inferred← citeshttps://doi.org/10.48550/arxiv.2009.10554openalex-snapshot
Management strategies for run-of-river hydropower plants -an optimal switching approach
inferred← citeshttps://doi.org/10.70675/f604e7a2zb84dz471fzbc8fzee1e232dc907openalex-snapshot
Systems of PDEs and reflected BSDEs with interconnected obstacles and related optimal switching problems
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