Viscosity solutions for a system of PDEs and optimal switching

DOI10.1093/IMAMCI/DNW004;zbMath1417.93154arXiv1204.1683MaRDI QIDQ4966985

Brahim El Asri, Imade Fakhouri

Publication date: 2 July 2019

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1683

zbMATH Keywords

variational inequalitiesbackward stochastic differential equationsreal optionsswitchingstopping timesSnell envelopeviscosity solution of PDEs

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)

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