화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.60, No.2, 213-235, 2009
The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach
In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the Markovian optimal m-states switching problem. The switching cost functions are arbitrary. This problem is in relation with the valuation of firms in a financial market.