most citedThe Starting and Stopping Problem under Knightian Uncertainty and Related Systems of Reflected BSDEs

8 citations

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math.PR2007★ 8 cited

The Starting and Stopping Problem under Knightian Uncertainty and Related Systems of Reflected BSDEs

Said Hamadene, Jianfeng Zhang

This article deals with the starting and stopping problem under Knightian uncertainty, i.e., roughly speaking, when the probability under which the future evolves is not exactly kn…

math.PR2007★ 5 cited

A Finite Horizon Optimal Multiple Switching Problem

Boualem Djehiche, Said Hamadene, Alexandre Popier

We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The p…

math.PR2007★ 2 cited

Asymptotic Behavior of Total Times For Jobs That Must Start Over If a Failure Occurs

Soeren Asmussen, Pierre Fiorini, Lester Lipsky +2

Many processes must complete in the presence of failures. Different systems respond to task failure in different ways. The system may resume a failed task from the failure point (o…