A balance sheet optimal multi-modes switching problem


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Output type: Journal article

UM6P affiliated Publication?: Yes

Author list: Eddahbi, M'hamed; Fakhouri, Imade; Ouknine, Youssef

Publisher: Springer (part of Springer Nature): Springer Open Choice Hybrid Journals

Publication year: 2019

Journal: Afrika Matematica (1012-9405)

Volume number: 31

Issue number: 2

ISSN: 1012-9405

eISSN: 2190-7668

Languages: English (EN-GB)


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Abstract

We study a finite horizon balance sheet optimal multi-modes switching problem related to trade-off strategies between expected profit and cost cash flows. The problem is formulated in terms of Snell envelopes for the profit and the cost yields which act as obstacles to each other, moreover we fully characterize the optimal strategies. Then using the link between the Snell envelope of processes and reflected backward stochastic differential equations (RBSDEs for short), solving the problem turns out actually to solving the related system of RBSDEs, for which we prove the existence of a continuous minimal solution using an approximation scheme.


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Last updated on 2021-12-06 at 23:16