A PDE approach to regularity of solutions to finite horizon optimal switching problems

DOI10.1016/j.na.2009.05.063zbMath1202.60063MaRDI QIDQ1044477

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

zbMATH Keywords

algorithm; variational inequalities; viscosity solution; optimal stopping; stopping time; Itô diffusion; multiple switching; parabolic norms; two modes switching problem

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B70: Stochastic models in economics

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

34K38: Functional-differential inequalities