Stochastic optimal multi-modes switching with a viscosity solution approach (Q1933601)
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scientific article; zbMATH DE number 6128625
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic optimal multi-modes switching with a viscosity solution approach |
scientific article; zbMATH DE number 6128625 |
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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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0.9109625220298768
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0.8935714960098267
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0.8788188695907593
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0.8766255974769592
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0.8515231013298035
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