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Switching problem and related system of reflected backward SDEs

Citations

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Cited by:

  1. An, Jongbong & Jeon, Junkee & Kim, Takwon, 2025. "Optimal portfolio and retirement decisions with costly job switching options," Applied Mathematics and Computation, Elsevier, vol. 491(C).
  2. Aazizi, Soufiane & El Mellali, Tarik & Fakhouri, Imade & Ouknine, Youssef, 2018. "Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 70-78.
  3. Luo, Peng & Zhu, Mengbo, 2024. "Diagonally quadratic BSDE with oblique reflection and optimal switching," Stochastic Processes and their Applications, Elsevier, vol. 176(C).
  4. Perninge, Magnus, 2024. "Optimal stopping of BSDEs with constrained jumps and related zero-sum games," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
  5. Gyoocheol Shim & Junkee Jeon, 2025. "Optimal consumption and investment with a costly reversible job-switching option," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 101(3), pages 459-506, June.
  6. Eddahbi, M’hamed & Fakhouri, Imade & Ouknine, Youssef, 2020. "Reflected BSDEs with jumps in time-dependent convex càdlàg domains," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6515-6555.
  7. Matoussi, Anis & Sabbagh, Wissal & Zhang, Tusheng, 2017. "Backward doubly SDEs and semilinear stochastic PDEs in a convex domain," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2781-2815.
  8. Chassagneux, Jean-François & Richou, Adrien, 2019. "Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4597-4637.
  9. Erhan Bayraktar & Qi Feng & Zhaoyu Zhang, 2022. "Deep Signature Algorithm for Multi-dimensional Path-Dependent Options," Papers 2211.11691, arXiv.org, revised Jan 2024.
  10. Mihail Zervos & Carlos Oliveira & Kate Duckworth, 2018. "An investment model with switching costs and the option to abandon," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(3), pages 417-443, December.
  11. El Asri, Brahim, 2013. "Stochastic optimal multi-modes switching with a viscosity solution approach," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 579-602.
  12. Yongxin Liu & Hui Min, 2024. "Two-Player Nonzero-Sum Stochastic Differential Games with Switching Controls," Mathematics, MDPI, vol. 12(24), pages 1-9, December.
  13. Chi Seng Pun, 2022. "Robust classical-impulse stochastic control problems in an infinite horizon," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 291-312, October.
  14. Klimsiak, Tomasz, 2019. "Systems of quasi-variational inequalities related to the switching problem," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1259-1286.
  15. Yuki Shigeta, 2016. "Optimal Switching under Ambiguity and Its Applications in Finance," Discussion papers e-16-005, Graduate School of Economics , Kyoto University.
  16. Niu, Yue & Qu, Baoyou & Wang, Falei, 2025. "Lp-solutions of multi-dimensional BSDEs with mean reflection," Stochastic Processes and their Applications, Elsevier, vol. 187(C).
  17. Li Kai & Nyström Kaj & Olofsson Marcus, 2015. "Optimal switching problems under partial information," Monte Carlo Methods and Applications, De Gruyter, vol. 21(2), pages 91-120, June.
  18. Fuhrman, Marco & Morlais, Marie-Amélie, 2020. "Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3120-3153.
  19. Zhou Yang & Junkee Jeon, 2026. "A problem of finite-horizon optimal switching and stochastic control for utility maximisation," Finance and Stochastics, Springer, vol. 30(1), pages 59-118, January.
  20. Bénézet, Cyril & Chassagneux, Jean-François & Richou, Adrien, 2022. "Switching problems with controlled randomisation and associated obliquely reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 23-71.
  21. Kaitong Hu & Zhenjie Ren & Junjian Yang, 2019. "Principal-agent problem with multiple principals," Working Papers hal-02088486, HAL.
  22. Cacace, S. & Ferretti, R. & Festa, A., 2020. "Stochastic hybrid differential games and match race problems," Applied Mathematics and Computation, Elsevier, vol. 372(C).
  23. Giovanni Mottola, 2014. "A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding," Papers 1412.1469, arXiv.org.
  24. Elie, Romuald & Kharroubi, Idris, 2010. "Probabilistic representation and approximation for coupled systems of variational inequalities," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1388-1396, September.
  25. Magnus Perninge, 2020. "A finite horizon optimal switching problem with memory and application to controlled SDDEs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(3), pages 465-500, June.
  26. Nie, Tianyang & Rutkowski, Marek, 2014. "Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2672-2698.
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