A stochastic target formulation for optimal switching problems in finite horizon

Stochastics

Volumn 81, Issue 2, 2009, Pages 171-197

  Bouchard, Bruno ^a  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

Comparison principle; Impulse control; Jump diffusion processes; Optimal switching; Stochastic targets; Viscosity solutions

Indexed keywords

EID: 68149132062     PISSN: 17442508     EISSN: 17442516     Source Type: Journal    
DOI: 10.1080/17442500802327360     Document Type: Article

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