most citedOptimal switching problem for marked point process and systems of reflected BSDE

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math.PR2017★ 1 cited

Optimal switching problem for marked point process and systems of reflected BSDE

Nahuel Foresta

We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different com…

math.PR2017

Optimal stopping of marked point processes and reflected backward stochastic differential equations

Nahuel Foresta

We define a class of reflected backward stochastic differential equation (RBSDE) driven by a marked point process (MPP) and a Brownian motion, where the solution is constrained to…