On the starting and stopping problem: Application in reversible investments

Mathematics of Operations Research

Volumn 32, Issue 1, 2007, Pages 182-192

  Hamadène, Said ^a   Jeanblanc, Monique ^b  

^a UNIVERSITÉ DU MAINE   (France)

^b UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

Author keywords

BSDEs; Real options; Snell envelope; Stopping and starting; Stopping time

Indexed keywords

COMPUTATIONAL METHODS; DIFFERENTIAL EQUATIONS; NUMERICAL METHODS; PROBLEM SOLVING; RANDOM PROCESSES;

SNELL ENVELOPES; STARTING AND STOPPING PROBLEM; STOCHASTIC DIFFERENTIAL EQUATIONS (BSDE); STOPPING TIME;

GRAPH THEORY;

EID: 33847314223     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1060.0228     Document Type: Article

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