A limited-feedback approximation scheme for optimal switching problems with execution delays
Magnus Perninge
| Year of publication: |
June 2018
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|---|---|
| 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
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| Subject: | Optimal switching | Impulse control | Real options | Delivery lag | Execution delay | Stopping time | Snell envelope | Numerical algorithm | Theorie | Theory | Realoptionsansatz | Real options analysis | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0620-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011874011