Sökning: "Snell envelope"

Hittade 3 avhandlingar innehållade orden Snell envelope.

1. 1. A Probabilistic Approach to Non-Markovian Impulse Control

   Författare :Johan Jönsson; Magnus Perninge; Säid Hamadène; Linnéuniversitetet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic optimal control; optimal stopping; optimal switching; impulse control; Snell envelope; obstacle problems; partial differential equation; Matematik; Mathematics;

   Sammanfattning : This thesis treats mathematical considerations that arise in relation to certain stochastic optimal control problems, in particular of switching and impulse type. Both of these problems are extensions of the well-known optimal stopping problem. LÄS MER

3. 2. On the Snell envelope approach to optimal switching and pricing Bermudan options

   Författare :Ali Hamdi; Boualem Djehiche; Henrik Hult; Said Hamadène; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of two papers related to systems of Snell envelopes. The first paper uses a system of Snell envelopes to formulate the problem of two-modes optimal switching for the full balance sheet in finite horizon. LÄS MER

4. 3. Some aspects of optimal switching and pricing Bermudan options

   Författare :Ali Hamdi; Boualem Djehiche; Henrik Hult; Luis Alvarez; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of four papers that are all related to the Snell envelope. In the first paper, the Snell envelope is used as a formulation of a two-modes optimal switching problem. The obstacles are interconnected, take both profit and cost yields into account, and switching is based on both sides of the balance sheet. LÄS MER