2004/10/12 by Huyên Pham, Huyen Pham, Pham, Huyen
Mathematics · #49L25 #60H30 #FOS: Mathematics #MSC: 60G40 #Nonlinear Partial Differential Equations #Probability (math.PR) #math.PR #msc:49L25 #msc:60G40 #msc:60H30
paper · pdf · doi:10.48550/arxiv.math/0410285
arxiv created 2004/10/12 · openalex publication_date 2004/10/12 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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 C1 property of the value functions.