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math.OC2021
Stochastic optimal switching and systems of variational inequalities with interconnected obstacles
Brahim El Asri, Imade Fakhouri, Nacer Ourkiya
This paper studies a system of variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result…
math.OC2012★ 17 cited
Viscosity Solutions for a System of PDEs and Optimal Switching
Brahim El Asri, Imade Fakhouri
In this paper, we study the -states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an eco…