A Finite Horizon Optimal Multiple Switching Problem

DOI10.1137/070697641zbMath1196.60069arXiv0707.2663OpenAlexW2126867477MaRDI QIDQ3581043

Said Hamadène, Boualem Djehiche, Alexandre Popier

Publication date: 16 August 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.2663

zbMATH Keywords

variational inequalitiesstopping timebackward stochastic differential equationsreal optionsimpulse controloptimal switchingSnell envelope

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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