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A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet
Joint Authors
Source
International Journal of Stochastic Analysis
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-25
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
We consider the problem of switching a large number of production lines between two modes, high production and low production.
The switching is based on the optimal expected profit and cost yields of the respective production lines and considers both sides of the balance sheet.
Furthermore, the production lines are all assumed to be interconnected through a coupling term, which is the average of all optimal expected yields.
Intuitively, this means that each individual production line is compared to the average of all its peers which acts as a benchmark.
Due to the complexity of the problem, we consider the aggregated optimal expected yields, where the coupling term is approximated with the mean of the optimal expected yields.
This turns the problem into a two-mode optimal switching problem of mean-field type, which can be described by a system of Snell envelopes where the obstacles are interconnected and nonlinear.
The main result of the paper is a proof of a continuous minimal solution to the system of Snell envelopes, as well as the full characterization of the optimal switching strategy.
American Psychological Association (APA)
Djehiche, Boualem& Hamdi, Ali. 2014. A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet. International Journal of Stochastic Analysis،Vol. 2014, no. 2014, pp.1-16.
https://search.emarefa.net/detail/BIM-450584
Modern Language Association (MLA)
Djehiche, Boualem& Hamdi, Ali. A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet. International Journal of Stochastic Analysis No. 2014 (2014), pp.1-16.
https://search.emarefa.net/detail/BIM-450584
American Medical Association (AMA)
Djehiche, Boualem& Hamdi, Ali. A Two-Mode Mean-Field Optimal Switching Problem for the Full Balance Sheet. International Journal of Stochastic Analysis. 2014. Vol. 2014, no. 2014, pp.1-16.
https://search.emarefa.net/detail/BIM-450584
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-450584