Stochastic optimal multi-modes switching with a viscosity solution approach
We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary (gij(t,x)≥0). We show existence of the optimal strategy, via a verification theorem. Finally, when the state of the system is a Markov process, we show that the vector of value functions of the optimal problem is the unique viscosity solution to the system of m variational partial differential inequalities with inter-connected obstacles.
Year of publication: |
2013
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Authors: | El Asri, Brahim |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 2, p. 579-602
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Publisher: |
Elsevier |
Subject: | Real options | Backward stochastic differential equations | Snell envelope | Stopping times | Switching | Viscosity solution of PDEs | Variational inequalities |
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