Stochastic optimal switching and systems of variational inequalities with interconnected obstacles (Q6657899)
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scientific article; zbMATH DE number 7962666
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimal switching and systems of variational inequalities with interconnected obstacles |
scientific article; zbMATH DE number 7962666 |
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Stochastic optimal switching and systems of variational inequalities with interconnected obstacles (English)
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7 January 2025
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reflected backward stochastic differential equations
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switching problem
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real options
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oblique reflection
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viscosity solution
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variational inequalities
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infinite horizon
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