Title of article
A PDE approach to regularity of solutions to finite horizon optimal switching problems Original Research Article
Author/Authors
T. Arnarson، نويسنده , , B. Djehiche، نويسنده , , M. Poghosyan، نويسنده , , H. Shahgholian، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
14
From page
6054
To page
6067
Abstract
We study optimal 2-switching and nn-switching problems and the corresponding system of variational inequalities. We obtain results on the existence of viscosity solutions for the 2-switching problem for various setups when the cost of switching is non-deterministic. For the nn-switching problem we obtain regularity results for the solutions of the variational inequalities. The solutions are C1,1C1,1-regular away for the free boundaries of the action sets.
Keywords
Backward stochastic differential equation , Default risk , Snell envelope , Viscosity solution of PDEs , Variational inequalities , Optimal switching , Stopping time , Real options , Stopping and starting , Security design
Journal title
Nonlinear Analysis Theory, Methods & Applications
Serial Year
2009
Journal title
Nonlinear Analysis Theory, Methods & Applications
Record number
861703
Link To Document