On the Starting and Stopping Problem: Application in Reversible Investments

Saïd Hamadène · Monique Jeanblanc

167 citations0/0 files storedMathematics of Operations Research

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk and Portfolio Optimization

Abstract

In this work, we solve completely the starting and stopping problem when the dynamics of the system are a general adapted stochastic process. We use backward stochastic differential equations (BSDEs) and Snell envelopes. Finally, we give some numerical results.

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References

1994Investment Under Uncertainty.1994Investment under Uncertainty 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1985Evaluating Natural Resource Investments 1989Entry and Exit Decisions under Uncertainty 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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2009Multi-dimensional BSDE with oblique reflection and optimal switching 2009A Finite Horizon Optimal Multiple Switching Problem 2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications 2010Switching problem and related system of reflected backward SDEs 2008Pricing Asset Scheduling Flexibility using Optimal Switching 2004BSDEs with two reflecting barriers : the general result

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