On the smooth-fit property for one-dimensional optimal switching problem
Probability
2007-05-23 v1
Abstract
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational inequa-lities, and the state space is divided into continuation regions and switching regions. By means of viscosity solutions approach, we prove the smoot-fit property of the value functions.
Cite
@article{arxiv.math/0410285,
title = {On the smooth-fit property for one-dimensional optimal switching problem},
author = {Huyen Pham},
journal= {arXiv preprint arXiv:math/0410285},
year = {2007}
}