Stochastic optimal switching problem with non signed switching payments

DOI10.1007/S00245-025-10341-8MaRDI QIDQ6898974zbMATH OpenFDO

Authors Brahim El Asri, Said Hamadène, Sehail Mazid

Publication date 17 November 2025

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

Full work available at URL https://doi.org/10.1007/S00245-025-10341-8

zbMATH Keywords

backward stochastic differential equationsHamilton-Jacobi-Bellman equationsoptimal switchingSnell envelopevariational inequalitiesviscosity solution

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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