The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach

Brahim El Asri; Said Hamadene

doi:10.1007/s00245-009-9071-3

The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach

Applied Mathematics & Optimization ◽

10.1007/s00245-009-9071-3 ◽

2009 ◽

Vol 60 (2) ◽

pp. 213-235 ◽

Cited By ~ 33

Author(s):

Brahim El Asri ◽

Said Hamadene

Keyword(s):

Viscosity Solution ◽

Finite Horizon ◽

Solution Approach

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Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach

Stochastics and Stochastics Reports ◽

10.1080/17442509308833860 ◽

1993 ◽

Vol 45 (3-4) ◽

pp. 145-176 ◽

Cited By ~ 49

Author(s):

Shanjian Tang ◽

Jiongmin Yong

Keyword(s):

Viscosity Solution ◽

Finite Horizon ◽

Optimal Switching ◽

Solution Approach ◽

Impulse Controls

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Deterministic minimax impulse control in finite horizon: the viscosity solution approach

ESAIM Control Optimisation and Calculus of Variations ◽

10.1051/cocv/2011200 ◽

2012 ◽

Vol 19 (1) ◽

pp. 63-77 ◽

Cited By ~ 2

Author(s):

Brahim El Asri

Keyword(s):

Viscosity Solution ◽

Impulse Control ◽

Finite Horizon ◽

Solution Approach

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The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_15 ◽

1992 ◽

pp. 411-421

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Viscosity Solution ◽

Numerical Schemes ◽

Solution Approach

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A Viscosity Solution Approach to the Infinite-Dimensional HJB Equation Related to a Boundary Control Problem in a Transport Equation

SIAM Journal on Control and Optimization ◽

10.1137/050638813 ◽

2008 ◽

Vol 47 (2) ◽

pp. 1022-1052 ◽

Cited By ~ 3

Author(s):

Giorgio Fabbri

Keyword(s):

Control Problem ◽

Transport Equation ◽

Viscosity Solution ◽

Boundary Control ◽

Hjb Equation ◽

Solution Approach ◽

Infinite Dimensional ◽

Boundary Control Problem

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Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach

Mathematics of Operations Research ◽

10.1287/moor.21.3.655 ◽

1996 ◽

Vol 21 (3) ◽

pp. 655-674 ◽

Cited By ~ 22

Author(s):

Xun Yu Zhou

Keyword(s):

Dynamic Programming ◽

Viscosity Solution ◽

Optimal Controls ◽

Solution Approach

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Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

Finance and Stochastics ◽

10.1007/pl00013538 ◽

2001 ◽

Vol 5 (3) ◽

pp. 275-303 ◽

Cited By ~ 49

Author(s):

Fred Espen Benth ◽

Kenneth Hvistendahl Karlsen ◽

Kristin Reikvam

Keyword(s):

Differential Equations ◽

Portfolio Selection ◽

Viscosity Solution ◽

Optimal Portfolio ◽

Solution Approach ◽

Gradient Constraint ◽

Optimal Portfolio Selection

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Numerical solution to the optimal birth feedback control of a population dynamics: viscosity solution approach

Optimal Control Applications and Methods ◽

10.1002/oca.759 ◽

2005 ◽

Vol 26 (5) ◽

pp. 229-254 ◽

Cited By ~ 12

Author(s):

Bao-Zhu Guo ◽

Bing Sun

Keyword(s):

Population Dynamics ◽

Feedback Control ◽

Numerical Solution ◽

Viscosity Solution ◽

Solution Approach

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Dynamic Programming Viscosity Solution Approach and Its Applications to Optimal Control Problems

Studies in Systems, Decision and Control - Mathematics Applied to Engineering, Modelling, and Social Issues ◽

10.1007/978-3-030-12232-4_12 ◽

2019 ◽

pp. 363-420 ◽

Cited By ~ 1

Author(s):

Bing Sun ◽

Zhen-Zhen Tao ◽

Yang-Yang Wang

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Viscosity Solution ◽

Optimal Control Problems ◽

Control Problems ◽

Solution Approach

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A viscosity solution approach to valuation of passport options in a jump-diffusion model

10.1109/chicc.2008.4605901 ◽

2008 ◽

Cited By ~ 1

Author(s):

Baojun Bian ◽

Yang Wang

Keyword(s):

Diffusion Model ◽

Viscosity Solution ◽

Jump Diffusion ◽

Solution Approach ◽

Jump Diffusion Model ◽

Passport Options

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Stochastic optimal multi-modes switching with a viscosity solution approach

Stochastic Processes and their Applications ◽

10.1016/j.spa.2012.09.007 ◽

2013 ◽

Vol 123 (2) ◽

pp. 579-602 ◽

Cited By ~ 4

Author(s):

Brahim El Asri

Keyword(s):

Viscosity Solution ◽

Solution Approach

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