Stochastic optimal multi-modes switching with a viscosity solution approach
AbstractWe consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary (gij(t,x)≥0). We show existence of the optimal strategy, via a verification theorem. Finally, when the state of the system is a Markov process, we show that the vector of value functions of the optimal problem is the unique viscosity solution to the system of m variational partial differential inequalities with inter-connected obstacles.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 123 (2013)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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