A PDE approach to regularity of solutions to finite horizon optimal switching problems

DOI10.1016/j.na.2009.05.063zbMath1202.60063OpenAlexW2024128774MaRDI QIDQ1044477

J. Blot

Publication date: 18 December 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.05.063

zbMATH Keywords

algorithmvariational inequalitiesviscosity solutionoptimal stoppingstopping timeItô diffusionmultiple switchingparabolic normstwo modes switching problem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Functional-differential inequalities (34K38)

Related Items (10)

System of variational inequalities with interconnected obstacles ⋮ On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles ⋮ Management strategies for run-of-river hydropower plants: an optimal switching approach ⋮ Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process ⋮ Systems of fully nonlinear degenerate elliptic obstacle problems with Dirichlet boundary conditions ⋮ An overview of unconstrained free boundary problems ⋮ Impulse control problem with switching technology ⋮ A full balance sheet two-mode optimal switching problem ⋮ Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type ⋮ Solution examples of an impulse control problem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some mathematical results in the pricing of American options
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• On the Starting and Stopping Problem: Application in Reversible Investments
• Free boundary regularity close to initial state for parabolic obstacle problem

This page was built for publication: A PDE approach to regularity of solutions to finite horizon optimal switching problems