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On the Starting and Stopping Problem: Application in Reversible Investments.
- Source :
- Mathematics of Operations Research; Feb2007, Vol. 32 Issue 1, p182-192, 11p, 4 Graphs
- Publication Year :
- 2007
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0364765X
- Volume :
- 32
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Mathematics of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 24327285
- Full Text :
- https://doi.org/10.1287/moor.1060.0228