On the Starting and Stopping Problem: Application in Reversible Investments

Said Hamadène, Monique Jeanblanc

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Source: Crossref

Published: Feb 1, 2007

DOI: 10.1287/moor.1060.0228

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Source abstract

In this work, we solve completely the starting and stopping problem when the dynamics of the system are a general adapted stochastic process. We use backward stochastic differential equations (BSDEs) and Snell envelopes. Finally, we give some numerical results.

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