Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A Finite Horizon Optimal Multiple Switching Problem

16 references·13 citing·32 second hop

FromToDepth

this work references cited by second hop

References

1994Investment Under Uncertainty.9,497 cited
1999Continuous Martingales and Brownian Motion6,200 cited
1985Evaluating Natural Resource Investments2,379 cited
1989Entry and Exit Decisions under Uncertainty2,356 cited
1997Backward Stochastic Differential Equations in Finance2,339 cited
1996Real Options: Managerial Flexibility and Strategy in Resource Allocation2,220 cited
1998Methods of Mathematical Finance1,939 cited
1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
1993Real Options and Interactions with Financial Flexibility690 cited
1981Les Aspects Probabilistes Du Controle Stochastique448 cited
2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
1996Backward stochastic differential equations with reflection and Dynkin games321 cited
1994Optimal Switching in an Economic Activity under Uncertainty198 cited
2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
2007On the Starting and Stopping Problem: Application in Reversible Investments167 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2002Reflected BSDE's with discontinuous barrier and application137 cited

Cited by

2010Switching problem and related system of reflected backward SDEs113 cited
2009The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach61 cited
2012Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem58 cited
2012BUY‐LOW AND SELL‐HIGH INVESTMENT STRATEGIES53 cited
2008Valuation of power plants by utility indifference and numerical computation41 cited
2011Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS39 cited
2013Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections27 cited
2010The explicit solution to a sequential switching problem with non-smooth data26 cited
2013An Optimal Dividend and Investment Control Problem under Debt Constraints24 cited
2016Finite-Horizon Optimal Multiple Switching with Signed Switching Costs24 cited
2012Discrete-time approximation of multidimensional BSDEs with oblique reflections22 cited
2013BSDE representations for optimal switching problems with controlled volatility22 cited
2011Lp-Solutions for Doubly Reflected Backward Stochastic Differential Equations20 cited