Stochastic optimal multi-modes switching with a viscosity solution approach

We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary ( g i j ( t , x ) ≥ 0 ). We show existence of the optimal strategy, via a verification theorem. Finally, when the state of the system is a Markov process, we show that the vector of value functions of the optimal problem is the unique viscosity solution to the system of m variational partial differential inequalities with inter-connected obstacles.