A stochastic target formulation for optimal switching problems in finite horizon (Q3630058): Difference between revisions

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Latest revision as of 14:34, 1 July 2024

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A stochastic target formulation for optimal switching problems in finite horizon
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    A stochastic target formulation for optimal switching problems in finite horizon (English)
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    2 June 2009
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    optimal switching
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    impulse control
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    stochastic targets
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    jump diffusion processes
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    viscosity solutions
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    comparison principle
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