- Stochastic Optimal Multi-Modes Switching with a Viscosity Solution Approach
2011/02/07 by Asri, Brahim El · 1 citation
#Backward stochastic differential equations #FOS: Electrical engineering #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Real options #Snell envelope #Stopping times #Switching #Systems and Control (eess.SY) #Variational inequalities #Viscosity solution of PDEs #electronic engineering #information engineering