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

The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

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

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Publisher
Springer-Verlag
Copyright
Copyright © 2009 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-009-9071-3
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Oct 1, 2009

References

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