A PDE approach to regularity of solutions to finite horizon optimal switching problems
DOI10.1016/J.NA.2009.05.063zbMATH Open1202.60063OpenAlexW2024128774MaRDI QIDQ1044477FDOQ1044477
Authors: J. Blot 
Publication date: 18 December 2009
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2009.05.063
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Cites Work
- On the Starting and Stopping Problem: Application in Reversible Investments
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- Some mathematical results in the pricing of American options
- ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
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- Free boundary regularity close to initial state for parabolic obstacle problem
Cited In (16)
- A full balance sheet two-mode optimal switching problem
- System of variational inequalities with interconnected obstacles
- A finite horizon optimal multiple switching problem
- An overview of unconstrained free boundary problems
- An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
- On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
- Solution examples of an impulse control problem
- Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions
- On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
- Optimal switching in finite horizon under state constraints
- Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
- Stochastic optimal multi-modes switching with a viscosity solution approach
- Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
- Optimal regularity in the optimal switching problem
- Impulse control problem with switching technology
- Management strategies for run-of-river hydropower plants: an optimal switching approach
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