Related papers: Optimal Multi-Modes Switching Problem in Infinite …
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…
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…
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…
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…
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…
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 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 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 consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…
We consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic technique based on the concept of Snell envelopes. We then…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
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…
We consider an optimal switching problem with random lag and possibility of component failure. The random lag is modeled by letting the operation mode follow a regime switching Markov-model with transition intensities that depend on the…
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…
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 study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…