A General Optimal Multiple Stopping Problem with an Application to Swing Options

DOI10.1080/07362994.2015.1037592zbMath1327.60098MaRDI QIDQ3448337

Joseph Frédéric Bonnans, Mohammed Mnif, Imène Ben Latifa

Publication date: 23 October 2015

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

Full work available at URL: https://hal.inria.fr/hal-01248283/file/A_general_optimal_multiple_stopping_problem_with_an_application_to_Swing_Options_final.pdf

zbMATH Keywords

viscosity solution; jump diffusion processes; optimal multiple stopping; Snell envelope; Hamilton-Jacobi-Bellman variational inequality; swing options

Mathematics Subject Classification ID

49J40: Variational inequalities

91B70: Stochastic models in economics

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

60J60: Diffusion processes

91G80: Financial applications of other theories

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games