Stochastic optimal multi-modes switching with a viscosity solution approach

DOI10.1016/j.spa.2012.09.007zbMath1261.60044arXiv1102.1256OpenAlexW2964018267MaRDI QIDQ1933601

Brahim El Asri

Publication date: 24 January 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.1256

zbMATH Keywords

variational inequalitiesbackward stochastic differential equationsreal optionsswitchingstopping timesSnell envelopeviscosity solution of PDEs

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stopping times; optimal stopping problems; gambling theory (60G40) Mathematical economics (91B99) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93)

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Zero-sum stochastic differential game in finite horizon involving impulse controls ⋮ Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems ⋮ The value of a minimax problem involving impulse control ⋮ A balance sheet optimal multi-modes switching problem ⋮ Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach

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