A finite horizon optimal multiple switching problem

SIAM Journal on Control and Optimization

Volumn 48, Issue 4, 2009, Pages 2751-2770

  Djehiche, Boualem ^a   Hamadène, Said ^b   Popier, Alexandre ^b  

^a ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

^b UNIVERSITÉ DU MAINE   (France)

Author keywords

Backward stochastic differential equations; Impulse control; Optimal switching; Real options; Snell envelope; Stopping time; Variational inequalities

Indexed keywords

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; IMPULSE CONTROL; OPTIMAL SWITCHING; REAL OPTIONS; SNELL ENVELOPE; STOPPING TIME; VARIATIONAL INEQUALITIES;

EID: 84907817384     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/070697641     Document Type: Article

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