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

By Brahim El Asri, Said Hamadène. 2008

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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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff99991e02fdef604a91ce273d1404a4bf6cfc41