Matches in SemOpenAlex for { <https://semopenalex.org/work/W2124958149> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W2124958149 abstract "We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell envelopes for the profit and cost yields which act as obstacles to each other. We then construct both a minimal solution and a maximal solution using an approximation scheme of the associated system of reflected backward stochastic differential equations (SDEs). We also address the question of uniqueness of solutions of this system of SDEs. When the dependence of the cash flows on the sources of uncertainty, such as fluctuation market prices, assumed to evolve according to a diffusion process, is made explicit, we obtain a connection between these solutions and viscosity solutions of a system of variational inequalities with interconnected obstacles." @default.
- W2124958149 created "2016-06-24" @default.
- W2124958149 creator A5019801271 @default.
- W2124958149 creator A5024498882 @default.
- W2124958149 creator A5042490484 @default.
- W2124958149 date "2011-06-08" @default.
- W2124958149 modified "2023-10-02" @default.
- W2124958149 title "Optimal stopping of expected profit and cost yields in an investment under uncertainty" @default.
- W2124958149 cites W1965150957 @default.
- W2124958149 cites W2078895915 @default.
- W2124958149 cites W2090929784 @default.
- W2124958149 cites W2126258480 @default.
- W2124958149 cites W2128802446 @default.
- W2124958149 doi "https://doi.org/10.1080/17442508.2010.516828" @default.
- W2124958149 hasPublicationYear "2011" @default.
- W2124958149 type Work @default.
- W2124958149 sameAs 2124958149 @default.
- W2124958149 citedByCount "4" @default.
- W2124958149 countsByYear W21249581492013 @default.
- W2124958149 countsByYear W21249581492015 @default.
- W2124958149 countsByYear W21249581492019 @default.
- W2124958149 countsByYear W21249581492021 @default.
- W2124958149 crossrefType "journal-article" @default.
- W2124958149 hasAuthorship W2124958149A5019801271 @default.
- W2124958149 hasAuthorship W2124958149A5024498882 @default.
- W2124958149 hasAuthorship W2124958149A5042490484 @default.
- W2124958149 hasBestOaLocation W21249581492 @default.
- W2124958149 hasConcept C10138342 @default.
- W2124958149 hasConcept C105795698 @default.
- W2124958149 hasConcept C126255220 @default.
- W2124958149 hasConcept C134306372 @default.
- W2124958149 hasConcept C144237770 @default.
- W2124958149 hasConcept C161999928 @default.
- W2124958149 hasConcept C162324750 @default.
- W2124958149 hasConcept C163428354 @default.
- W2124958149 hasConcept C175444787 @default.
- W2124958149 hasConcept C181622380 @default.
- W2124958149 hasConcept C2777021972 @default.
- W2124958149 hasConcept C2779006483 @default.
- W2124958149 hasConcept C28826006 @default.
- W2124958149 hasConcept C33923547 @default.
- W2124958149 hasConcept C51955184 @default.
- W2124958149 hasConcept C88731125 @default.
- W2124958149 hasConcept C99414536 @default.
- W2124958149 hasConcept C99888217 @default.
- W2124958149 hasConceptScore W2124958149C10138342 @default.
- W2124958149 hasConceptScore W2124958149C105795698 @default.
- W2124958149 hasConceptScore W2124958149C126255220 @default.
- W2124958149 hasConceptScore W2124958149C134306372 @default.
- W2124958149 hasConceptScore W2124958149C144237770 @default.
- W2124958149 hasConceptScore W2124958149C161999928 @default.
- W2124958149 hasConceptScore W2124958149C162324750 @default.
- W2124958149 hasConceptScore W2124958149C163428354 @default.
- W2124958149 hasConceptScore W2124958149C175444787 @default.
- W2124958149 hasConceptScore W2124958149C181622380 @default.
- W2124958149 hasConceptScore W2124958149C2777021972 @default.
- W2124958149 hasConceptScore W2124958149C2779006483 @default.
- W2124958149 hasConceptScore W2124958149C28826006 @default.
- W2124958149 hasConceptScore W2124958149C33923547 @default.
- W2124958149 hasConceptScore W2124958149C51955184 @default.
- W2124958149 hasConceptScore W2124958149C88731125 @default.
- W2124958149 hasConceptScore W2124958149C99414536 @default.
- W2124958149 hasConceptScore W2124958149C99888217 @default.
- W2124958149 hasLocation W21249581491 @default.
- W2124958149 hasLocation W21249581492 @default.
- W2124958149 hasOpenAccess W2124958149 @default.
- W2124958149 hasPrimaryLocation W21249581491 @default.
- W2124958149 hasRelatedWork W1672750543 @default.
- W2124958149 hasRelatedWork W1979233679 @default.
- W2124958149 hasRelatedWork W1984719934 @default.
- W2124958149 hasRelatedWork W1985005724 @default.
- W2124958149 hasRelatedWork W2037172480 @default.
- W2124958149 hasRelatedWork W2077617657 @default.
- W2124958149 hasRelatedWork W210105214 @default.
- W2124958149 hasRelatedWork W2113118602 @default.
- W2124958149 hasRelatedWork W2180657686 @default.
- W2124958149 hasRelatedWork W2303051342 @default.
- W2124958149 hasRelatedWork W2314356572 @default.
- W2124958149 hasRelatedWork W2374983296 @default.
- W2124958149 hasRelatedWork W2617389091 @default.
- W2124958149 hasRelatedWork W2964139766 @default.
- W2124958149 hasRelatedWork W2964191202 @default.
- W2124958149 hasRelatedWork W3046315934 @default.
- W2124958149 hasRelatedWork W3099391567 @default.
- W2124958149 hasRelatedWork W3125614824 @default.
- W2124958149 hasRelatedWork W3148832554 @default.
- W2124958149 hasRelatedWork W3177358 @default.
- W2124958149 isParatext "false" @default.
- W2124958149 isRetracted "false" @default.
- W2124958149 magId "2124958149" @default.
- W2124958149 workType "article" @default.