The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach

Journal Article · Thu Oct 15 00:00:00 EDT 2009 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-009-9071-3· OSTI ID:21241843

Hamadene, Said ^[1]

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1. Universite du Maine, Dept. de Mathematiques, Equipe Stat. et Processus (France)

In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the Markovian optimal m-states switching problem. The switching cost functions are arbitrary. This problem is in relation with the valuation of firms in a financial market.

• OSTI ID: 21241843
• Journal Information: Applied Mathematics and Optimization, Vol. 60, Issue 2; Other Information: DOI: 10.1007/s00245-009-9071-3; Copyright (c) 2009 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

97 MATHEMATICAL METHODS AND COMPUTING
99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE
MARKET
MARKOV PROCESS
MATHEMATICAL SOLUTIONS
PARTIAL DIFFERENTIAL EQUATIONS
VARIATIONAL METHODS
VERIFICATION
VISCOSITY