Search for dissertations about: "Optimal switching"
Showing result 1 - 5 of 63 swedish dissertations containing the words Optimal switching.
-
1. Optimal Switching Problems and Related Equations
Abstract : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. READ MORE
-
2. A Probabilistic Approach to Non-Markovian Impulse Control
Abstract : 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. READ MORE
-
3. Optimal Sequential Decisions in Hidden-State Models
Abstract : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. READ MORE
-
4. Some aspects of optimal switching and pricing Bermudan options
Abstract : 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. READ MORE
-
5. Semi-Markov Models for Insurance and Option Rewards
Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE