Stochastic optimal multi-modes switching with a viscosity solution approach (Q1933601): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2964018267 / rank | |||
Normal rank | |||
Revision as of 18:46, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimal multi-modes switching with a viscosity solution approach |
scientific article |
Statements
Stochastic optimal multi-modes switching with a viscosity solution approach (English)
0 references
24 January 2013
0 references
real options
0 references
backward stochastic differential equations
0 references
Snell envelope
0 references
stopping times
0 references
switching
0 references
viscosity solution of PDEs
0 references
variational inequalities
0 references
