The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach
Probability
2008-05-12 v1 Optimization and Control
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.
Keywords
Cite
@article{arxiv.0805.1306,
title = {The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach},
author = {Brahim El Asri and Said Hamadene},
journal= {arXiv preprint arXiv:0805.1306},
year = {2008}
}
Comments
19 pages