This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational inequa-lities, and the state space is divided into continuation regions and switching regions. By means of viscosity solutions approach, we prove the smoot-fit $C^1$ property of the value functions.
Publié le : 2004-10-12
Classification:
system of variational inequalities,
Optimal switching,
smooth-fit principle,
viscosity solutions,
MSC: 60G40, 49L25, 60H30,
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{hal-00003055,
author = {Pham, Huyen},
title = {On the smooth-fit property for one-dimensional optimal switching problem},
journal = {HAL},
volume = {2004},
number = {0},
year = {2004},
language = {en},
url = {http://dml.mathdoc.fr/item/hal-00003055}
}
Pham, Huyen. On the smooth-fit property for one-dimensional optimal switching problem. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00003055/