On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
From MaRDI portal
Publication:5423751
DOI10.1007/978-3-540-71189-6_8zbMath1126.60031arXivmath/0410285OpenAlexW1701395847MaRDI QIDQ5423751
Publication date: 31 October 2007
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0410285
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (9)
Optimal switching for the pairs trading rule: a viscosity solutions approach ⋮ An investment model with switching costs and the option to abandon ⋮ A direct solution method for pricing options involving the maximum process ⋮ A two-dimensional control problem arising from dynamic contracting theory ⋮ A mixed singular/switching control problem for a dividend policy with reversible technology investment ⋮ The explicit solution to a sequential switching problem with non-smooth data ⋮ Optimal switching under a hybrid diffusion model and applications to stock trading ⋮ Pricing Asset Scheduling Flexibility using Optimal Switching ⋮ BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES
This page was built for publication: On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
