2 papers
math.OC2018
A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
Said Hamadène, Randall Martyr, John Moriarty
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we…
math.OC2016
Optimal Entry to an Irreversible Investment Plan with Non Convex Costs
Tiziano De Angelis, Giorgio Ferrari, Randall Martyr +1
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty…