On the smooth-fit property for one-dimensional optimal switching problem

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dc.creatorPham, Huyen
dc.date2004-10-12
dc.date.accessioned2026-07-07T05:13:12Z
dc.date.available2026-07-07T05:13:12Z
dc.descriptionThis paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational inequa-lities, and the state space is divided into continuation regions and switching regions. By means of viscosity solutions approach, we prove the smoot-fit $C^1$ property of the value functions.
dc.identifierhttps://arxiv.org/abs/math/0410285
dc.identifierhttp://arxiv.org/abs/math/0410285
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/72857
dc.subjectProbability
dc.subjectMSC: 60G40, 49L25, 60H30
dc.titleOn the smooth-fit property for one-dimensional optimal switching problem
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