Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem (Q358616)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem |
scientific article |
Statements
Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem (English)
0 references
9 August 2013
0 references
real options
0 references
backward stochastic differential equations
0 references
HJB system
0 references
switching strategy
0 references
viscosity solution of PDEs
0 references
variational inequalities
0 references
0 references
0 references
0 references
0 references
