The finite horizon optimal multi-modes switching problem: the viscosity solution approach
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Abstract: In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the Markovian optimal m-states switching problem. The switching cost functions are arbitrary. This problem is in relation with the valuation of firms in a financial market.
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Cited in
(42)- Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
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