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

DOI10.1016/J.NA.2009.05.063MaRDI QIDQ1044477zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

algorithmstopping timeoptimal stoppingvariational inequalitiesviscosity solutionmultiple switchingparabolic normstwo modes switching problemItô diffusion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Functional-differential inequalities (34K38)

Recommendations

• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• Optimal regularity in the optimal switching problem
• A finite horizon optimal multiple switching problem
• Stochastic optimal multi-modes switching with a viscosity solution approach
• Optimal Switching over Multiple Regimes

Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 3751685 (Why is no real title available?)
• scientific article; zbMATH DE number 5233919 (Why is no real title available?)
• Free boundary regularity close to initial state for parabolic obstacle problem
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• On the Starting and Stopping Problem: Application in Reversible Investments
• Some mathematical results in the pricing of American options

Cited in

(16)

• Solution examples of an impulse control problem
• An overview of unconstrained free boundary problems
• Optimal regularity in the optimal switching problem
• Management strategies for run-of-river hydropower plants: an optimal switching approach
• System of variational inequalities with interconnected obstacles
• A full balance sheet two-mode optimal switching problem
• On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
• Optimal switching in finite horizon under state constraints
• An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• A finite horizon optimal multiple switching problem
• Impulse control problem with switching technology
• Stochastic optimal multi-modes switching with a viscosity solution approach
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions

This page was built for publication: A PDE approach to regularity of solutions to finite horizon optimal switching problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1044477)