A stochastic target formulation for optimal switching problems in finite horizon

DOI10.1080/17442500802327360zbMath1175.60037OpenAlexW2138120159MaRDI QIDQ3630058

Bruno Bouchard

Publication date: 2 June 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://www.informaworld.com/smpp/./content~db=all~content=a910732791

zbMATH Keywords

comparison principleviscosity solutionsimpulse controljump diffusion processesoptimal switchingstochastic targets

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stopping in statistics (62L15)

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