Related papers: The Finite Horizon Optimal Multi-Modes Switching P…
In this paper we study the optimal m-states switching problem in finite horizon as well as infinite horizon with risk of default. We allow the switching cost functionals and cost of default to be of polynomial growth and arbitrary. We show…
This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as…
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 ($g_{ij}(t,x)\geq 0$). We show existence of the optimal strategy, and give when…
In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…
This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case of this system is the deterministic version…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…
We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
In this paper we use viscosity approach to provide an explicit solution to the problem of a two - player switching game. We characterize the switching regions which reduce the switching problem into one of finding a finite number of…
In this paper we show existence and uniqueness of the solution in viscosity sense for a system of nonlinear $m$ variational integral-partial differential equations with interconnected obstacles whose coefficients $(f_i)_{i=1,\cdots, m}$…
In this paper, we consider the mean field optimal switching problem with a Markov chain under viscosity solution notion. Based on the conditional distribution of the Markov chain, the value function and corresponding dynamic programming…
\citeN{suzuki2020optimal} proves the uniqueness of the viscosity solution to a variational inequality which is solved by the value function of the infinite horizon optimal switching problem with simultaneous multiple switchings. Although it…
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover,…
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and switching costs that can belong to a large class of…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…