Optimal Switching under Ambiguity and Its Applications in Finance
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- Yuki Shigeta, 2016. "Optimal Switching under Ambiguity and Its Applications in Finance," Papers 1608.06045, arXiv.org.
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More about this item
Keywords
Optimal Switching; Ambiguity Aversion; Reflected Backward Stochastic Differential Equation; Viscosity Solution.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GER-2016-07-16 (German Papers)
- NEP-UPT-2016-07-16 (Utility Models and Prospect Theory)
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