Generalized anticipated backward stochastic differential equations, studied for the first time in 2007, are equations with generator f depending on the future value of the solution (Y⋅,Z⋅). In this paper, we will study the existence and uniqueness of the reflected solutions to these...

In this paper, we establish the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations with time delayed generator (RBSDEs with time delayed generator, in short) for a sufficiently small Lipschitz constant of the generator.

This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off times, ramp rates, or non-constant heat rates are important characteristics that can lead, if neglected, to overestimated values....