A Finite Horizon Optimal Multiple Switching Problem

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dc.creatorDjehiche, Boualem
dc.creatorHamadene, Said
dc.creatorPopier, Alexandre
dc.date2007-07-18
dc.date.accessioned2026-07-07T08:18:59Z
dc.date.available2026-07-07T08:18:59Z
dc.descriptionWe 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 and completely solved using probabilistic tools such as the Snell envelop of processes and reflected backward stochastic differential equations. Finally, when the state of the system is a Markov diffusion process, we show that the vector of value functions of the optimal problem is a viscosity solution to a system of variational inequalities with inter-connected obstacles.
dc.description26 pages
dc.identifierhttps://arxiv.org/abs/0707.2663
dc.identifierhttp://arxiv.org/abs/0707.2663
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/134625
dc.subjectProbability
dc.subjectOptimization and Control
dc.subject60G40 ; 93E20 ; 62P20 ; 91B99
dc.titleA Finite Horizon Optimal Multiple Switching Problem
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