Articlegreen2009

A stochastic target formulation for optimal switching problems in finite horizon

50 citations0/0 files storedStochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Partial Differential Equations Adaptive Dynamic Programming Control

Abstract

We consider a general optimal switching problem for a controlled diffusion and show that its value coincides with the value of a well-suited stochastic target problem associated to a diffusion with jumps. The proof consists in showing that the Hamilton–Jacobi–Bellman equations of both problems are the same and in proving a comparison principle for this equation. This provides a new family of lower bounds for the optimal switching problem, which can be computed by Monte-Carlo methods. This result has also a nice economical interpretation in terms of a firm's valuation.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 50 citations exist upstream.

References

1994Investment Under Uncertainty.1994Investment under Uncertainty 2005Stochastic Integration and Differential Equations 1981Point Processes and Queues 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1990Stochastic Integration and Differential Equations 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

Cited by

2009Optimal portfolio liquidation with execution cost and risk 2010Optimal Portfolio Liquidation with Execution Cost and Risk 2018Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem 2015Randomized and backward SDE representation for optimal control of non-Markovian SDEs 2018Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach 2013Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.