The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach

Details The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach

2008-05-09

arxiv.org/abs/0805.1306v1

Mathematics

Probability

19 pages

Scientific paper

In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the Markovian optimal m-states switching problem. The switching cost functions are arbitrary. This problem is in relation with the valuation of firms in a financial market.

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