A full balance sheet two-mode optimal switching problem

Pub Date : 2014-11-21 DOI:10.1080/17442508.2014.991324
Boualem Djehiche, Ali Hamdi
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引用次数: 6

Abstract

We formulate and solve a finite horizon full balance sheet of a two-mode optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the other mode or termination of the project, and this happens for both sides of the balance sheet. A novelty in this model is that the related obstacles are nonlinear in the underlying yields, whereas, they are linear in the standard optimal switching problem. The optimal switching problem is formulated in terms of a system of Snell envelopes for the profit and cost yields which act as obstacles to each other. We prove the existence of a continuous minimal solution of this system using an approximation scheme and fully characterize the optimal switching strategy.
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一个全资产负债表双模式最优切换问题
提出并求解了一个有限视界全资产负债表的双模式最优切换问题,该问题涉及期望利润与成本收益之间的权衡策略。给定当前模式,该模型允许切换到另一种模式或终止项目,这种情况发生在资产负债表的双方。该模型的新颖之处在于相关障碍在潜在收益中是非线性的,而在标准最优切换问题中是线性的。最优切换问题是用斯奈尔包络系统来表述的,因为利润和成本收益是相互阻碍的。利用近似格式证明了该系统连续极小解的存在性,并充分刻画了该系统的最优切换策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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