Abstract
This paper studies the problem of optimal switching for a one-dimensional diffusion, which may be regarded as a sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational inequalities, and the state space is divided into continuation regions and switching regions. By a viscosity solutions approach, we prove the smooth-fit C1 property of the value functions. MSC Classification (2000): 60G40, 49L25, 60H30 Key words: Optimal switching, System of variational inequalities, Viscosity solutions, Smooth-fit principle
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
