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