A finite horizon optimal switching problem with memory and application to controlled SDDEs
Year of publication: |
2020
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Authors: | Perninge, Magnus |
Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 91.2020, 3, p. 465-500
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Subject: | Impulse control | Optimal switching | Real options | Stopping time | Snell envelope | SDDEs | Realoptionsansatz | Real options analysis | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming |
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