The finite horizon optimal multi-modes switching problem: the viscosity solution approach
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Publication:843963
DOI10.1007/S00245-009-9071-3zbMATH Open1179.49006arXiv0805.1306OpenAlexW2071447885MaRDI QIDQ843963FDOQ843963
Authors: Brahim El Asri, Said Hamadène 
Publication date: 18 January 2010
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0805.1306
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Cited In (42)
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