On the Starting and Stopping Problem: Application in Reversible Investments

Said Hamadène
Said Hamadène
[email protected]
Laboratoire de Statistique et Processus, Université du Maine, Avenue Olivier Messiaen, 72085 Le Mans Cedex 9, France
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,
Monique Jeanblanc
Monique Jeanblanc
[email protected]
Département de Mathématiques, Université d’Evry Val d’Essonne, Bd. F. Mitterand, 91025 Evry Cedex, France
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Said Hamadène

[email protected]

Laboratoire de Statistique et Processus, Université du Maine, Avenue Olivier Messiaen, 72085 Le Mans Cedex 9, France

Search for more papers by this author

Monique Jeanblanc

[email protected]

Département de Mathématiques, Université d’Evry Val d’Essonne, Bd. F. Mitterand, 91025 Evry Cedex, France

Search for more papers by this author

Published Online:1 Feb 2007https://doi.org/10.1287/moor.1060.0228

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.

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cover image Mathematics of Operations Research

Volume 32, Issue 1

February 2007

Pages 1-256

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Received:February 12, 2004
Published Online:February 01, 2007

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Said Hamadène, Monique Jeanblanc, (2007) On the Starting and Stopping Problem: Application in Reversible Investments. Mathematics of Operations Research 32(1):182-192.

https://doi.org/10.1287/moor.1060.0228

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On the Starting and Stopping Problem: Application in Reversible Investments

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Volume 32, Issue 1

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