On the starting and stopping problem:: Application in reversible investments

被引：106
作者：
Hamadene, Said
Jeanblanc, Monique
机构：
[1] Univ Maine, Lab Stat & Proc, F-72085 Le Mans 9, France
[2] Univ Evry Val Essonne Bd F Mitterand, Dept Math, F-91025 Evry, France
来源：
MATHEMATICS OF OPERATIONS RESEARCH | 2007年 / 32卷 / 01期
关键词：
real options; BSDEs; Snell envelope; stopping time; stopping and starting;
D O I：
10.1287/moor.1060.0228
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：182 / 192
页数：11
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