| Autor: |
Morel, J.-M., Takens, F., Teissier, B., Donati-Martin, Catherine, Émery, Michel, Rouault, Alain, Stricker, Christophe, Huyen Pham |
| Zdroj: |
Seminaire de Probabilites XL; 2007, p187-199, 13p |
| Abstrakt: |
This paper studies the problem of optimal switching for a one-dimensional diffusion, which may be regarded as a sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational inequalities, and the state space is divided into continuation regions and switching regions. By a viscosity solutions approach, we prove the smooth-fit C1 property of the value functions. MSC Classification (2000): 60G40, 49L25, 60H30 Key words: Optimal switching, System of variational inequalities, Viscosity solutions, Smooth-fit principle [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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