Viscosity solutions for a system of PDEs and optimal switching
Author:
Affiliation:
1. Université Ibn Zohr, Equipe. Aide à la decision, ENSA, B.P. 1136, Agadir, Morocco
2. Département de Mathématiques, Université Cadi Ayyad, FSS, B.P. 2390, Marrakech 40000, Morocco, imadefakhouri@gmail.com
Funder
CNRST ‘Centre National pour la Recherche Scientifique et Technique’, Rabat, Morocco
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Control and Optimization,Control and Systems Engineering
Link
http://academic.oup.com/imamci/article-pdf/34/3/937/27709697/dnw004.pdf
Reference24 articles.
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4. Evaluating natural resource investments;Brennan;J. Business,1985
5. Pricing asset scheduling flexibility using optimal switching;Carmona;Appl. Math. Finance,2008
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