Explicit solution to an optimal switching problem in the two-regime case

SIAM Journal on Control and Optimization

Volumn 46, Issue 2, 2007, Pages 395-426

  Vath, Vathana Ly ^a   Pham, Huyên ^a  

^a CNRS   (France)

Author keywords

Optimal switching; Smooth fit principle; System of variational inequalities; Viscosity solutions

Indexed keywords

BROWNIAN MOVEMENT; DECISION THEORY; PROBLEM SOLVING; VISCOSITY;

OPTIMAL SWITCHING; SMOOTH-FIT PRINCIPLE; SYSTEM OF VARIATIONAL INEQUALITIES; VISCOSITY SOLUTIONS;

SWITCHING;

EID: 41449090227     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/050638783     Document Type: Article

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