Stochastic optimal multi-modes switching with a viscosity solution approach
نویسندگان
چکیده
منابع مشابه
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 (gij(t, x) ≥ 0). We show existence of the optimal strategy, and give when the optimal strategy is finite via a verification theorem. Finally, when the state of the system is a markov process, we show that the vector of value functions of ...
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1 Institute of Systems Science, Academy of Mathematics and System Sciences, Academia Sinica, Beijing 100080, People’s Republic of China School of Computational and Applied Mathematics, University of the Witwatersrand, Private 3, Wits 2050, Johannesburg, South Africa 3 Institute of Systems Science, Academy of Mathematics and System Sciences, Academia Sinica, Beijing 100080, People’s Republic of ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2013
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.09.007