The finite horizon optimal multi-modes switching problem: the viscosity solution approach (Q843963): Difference between revisions

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Latest revision as of 09:57, 2 July 2024

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The finite horizon optimal multi-modes switching problem: the viscosity solution approach
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    The finite horizon optimal multi-modes switching problem: the viscosity solution approach (English)
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    18 January 2010
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    real options
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    backward stochastic differential equations
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    Snell envelope
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    stopping times
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    switching
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    viscosity solution of PDEs
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    variational inequalities
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