The finite horizon optimal multi-modes switching problem: the viscosity solution approach (Q843963): Difference between revisions
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Revision as of 14:16, 13 February 2024
scientific article
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| English | 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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