On the Starting and Stopping Problem: Application in Reversible Investments

References

• Bally V., Pagès G. Error analysis of the optimal quantization algorithm for obstacle problems. Stochastic Processes Their Appl. (2003) 106:1–40Crossref, Google Scholar
• Bouchard B., Touzi N. Discrete-time approximation and Monte-Carlo simulation of BSDEs. Stochastic Processes Their Appl. (2004) 111:175–206Crossref, Google Scholar
• Brekke K. A., Oksendal B. Optimal switching in an economic activity under uncertainty. SIAM J. Optim32(4):1021–1036Google Scholar
• Brennan M. J., Schwartz E. S. Evaluating natural resource investments. J. Bus. (1985) 58:135–137Crossref, Google Scholar
• Carmona R., Ludkovski M. Convenience yield model with partial observations and exponential utility. (2004) . Preprint. Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJGoogle Scholar
• Cvitanic J., Karatzas I. Backward SDEs with reflection and Dynkin games. Ann. Probab. (1996) 24(4):2024–2056Crossref, Google Scholar
• Dixit A. Entry and exit decisions under uncertainty. J. Political Econom. (1989) 97:620–638Crossref, Google Scholar
• Dixit A., Pindyck R.Investment Under Uncertainty (1994) (Princeton University Press, Princeton, NJ) Crossref, Google Scholar
• Duckworth K., Zervos M. A model for investment decisions with switching costs. Ann. Appl. Probab. (2001) 11(1):239–260Crossref, Google Scholar
• El-Karoui N. Les aspects probabilistes du contrôle stochastique. Ecole d’été de Saint-Flour. Lecture Notes in Mathematics876(Springer-Verlag, Berlin, Germany) 73–238Google Scholar
• El-Karoui N., Kapoudjian C., Pardoux E., Peng S., Quenez M. C. Reflected solutions of backward SDEs and related obstacle problems for PDEs. Ann. Probab. (1997) 25(2):702–737Crossref, Google Scholar
• Hamadène S. Reflected BSDE’s with discontinuous barriers and application. Stochastics Stochastics Rep. (2002) 74(3–4):571–596Crossref, Google Scholar
• Hamadène S., Hassani M. BSDEs with two reflecting barriers: The general result. Probab. Theory Related Fields (2005) 132:237–264Crossref, Google Scholar
• Hamadène S., Lepeltier J.-P. Reflected BSDEs and mixed game problem. Stochastic Processes Their Appl. (2000) 85:177–188Crossref, Google Scholar
• Hamadène S., Lepeltier J.-P., Matoussi A., El Karoui N., Mazliak L. Double barrier reflected backward SDEs with continuous coefficients. Pitman Research Notes in Mathematics Series (1997) 364:115–128Google Scholar
• Porchet A., Touzi N. Valuation of a production asset subject to production constraints. (2005) . Preprint. CREST, Malakoff, FranceGoogle Scholar