A limited-feedback approximation scheme for optimal switching problems with execution delays
Year of publication: |
June 2018
|
---|---|
Authors: | Perninge, Magnus |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 87.2018, 3, p. 347-382
|
Subject: | Optimal switching | Impulse control | Real options | Delivery lag | Execution delay | Stopping time | Snell envelope | Numerical algorithm | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Realoptionsansatz | Real options analysis | Stochastischer Prozess | Stochastic process | Algorithmus | Algorithm |
-
A finite horizon optimal switching problem with memory and application to controlled SDDEs
Perninge, Magnus, (2020)
-
Perninge, Magnus, (2014)
-
A generalized complementarity approach to solving real option problems
Nagae, Takeshi, (2008)
- More ...
-
Perninge, Magnus, (2014)
-
Perninge, Magnus, (2014)
-
A finite horizon optimal switching problem with memory and application to controlled SDDEs
Perninge, Magnus, (2020)
- More ...