The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach

Simple item page
dc.creatorAsri, Brahim El
dc.creatorHamadene, Said
dc.date2008-05-09
dc.date.accessioned2026-07-07T09:38:00Z
dc.date.available2026-07-07T09:38:00Z
dc.descriptionIn 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.
dc.description19 pages
dc.identifierhttps://arxiv.org/abs/0805.1306
dc.identifierhttp://arxiv.org/abs/0805.1306
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/160657
dc.subjectProbability
dc.subjectOptimization and Control
dc.subject60G40 ; 62P20 ; 91B99 ; 91B28 ; 35B37 ; 49L25.
dc.titleThe Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach
dc.typetext

Files

Collections

arXiv