Stochastic optimal multi-modes switching with a viscosity solution approach (Q1933601): Difference between revisions
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Latest revision as of 13:38, 16 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimal multi-modes switching with a viscosity solution approach |
scientific article |
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Stochastic optimal multi-modes switching with a viscosity solution approach (English)
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24 January 2013
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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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