Viscosity solutions for a system of PDEs and optimal switching (Q4966985)
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scientific article; zbMATH DE number 7075413
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| English | Viscosity solutions for a system of PDEs and optimal switching |
scientific article; zbMATH DE number 7075413 |
Statements
Viscosity solutions for a system of PDEs and optimal switching (English)
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2 July 2019
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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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0.9413204789161682
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0.9034824967384338
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0.8702075481414795
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0.8515231013298035
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