Stochastic optimal switching problem with non signed switching payments (Q6898974)
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scientific article; zbMATH DE number 8122691
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic optimal switching problem with non signed switching payments |
scientific article; zbMATH DE number 8122691 |
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Stochastic optimal switching problem with non signed switching payments (English)
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17 November 2025
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optimal switching
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backward stochastic differential equations
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Snell envelope
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Hamilton-Jacobi-Bellman equations
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viscosity solution
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variational inequalities
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