Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
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Publication:358616
DOI10.1007/s00245-012-9184-yzbMath1272.93130arXiv1104.2689MaRDI QIDQ358616
Said Hamadène, Marie-Amélie Morlais
Publication date: 9 August 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.2689
variational inequalities; backward stochastic differential equations; real options; switching strategy; HJB system; viscosity solution of PDEs
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49J40: Variational inequalities
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
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