The finite horizon optimal multi-modes switching problem: the viscosity solution approach

DOI10.1007/s00245-009-9071-3zbMath1179.49006arXiv0805.1306OpenAlexW2071447885MaRDI QIDQ843963

Brahim El Asri, Said Hamadène

Publication date: 18 January 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.1306

zbMATH Keywords

variational inequalitiesbackward stochastic differential equationsreal optionsswitchingstopping timesSnell envelopeviscosity solution of PDEs

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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