A balance sheet optimal multi-modes switching problem
Eddahbi, Mhamed . 2020
We study a finite horizon balance sheet optimal multi-modes switching problem related to
trade-off strategies between expected profit and cost cash flows. The problem is formulated in
terms of Snell envelopes for the profit and the cost yields which act as obstacles to each other,
moreover we fully characterize the optimal strategies. Then using the link between the Snell
envelope of processes and reflected backward stochastic differential equations (RBSDEs for
short), solving the problem turns out actually to solving the related system of RBSDEs,
for which we prove the existence of a continuous minimal solution using an approximation
scheme.
This paper deals with numerical analysis of solutions to stochastic differential equations
with jumps (SDEJs) with measurable drifts that may have quadratic growth. The main tool used is…
In this paper we are interested in solving numerically quadratic SDEs with non-necessary continuous drift of the from
\begin{equation*}
X_{t}=x+\int_{0}^{t}b(s,X_{s})ds+\int_{0}^{t}f(…
We study both Malliavin regularity and numerical approximation schemes for a class of quadratic backward stochastic