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

  • 1982Stochastic Control by Functional Analysis Methods204 cited

Cited by

  • 2007Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case97 cited
  • 2005On some recent aspects of stochastic control and their applications92 cited
  • 2010Impulse Control of Multidimensional Jump Diffusions69 cited
  • 2009Viscosity Solutions for a System of Integro-PDEs and Connections to Optimal Switching and Control of Jump-Diffusion Processes64 cited
  • 2010Backward SDEs with constrained jumps and quasi-variational inequalities63 cited
  • 2009The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach61 cited
  • 2012Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem58 cited
  • 2009Optimal Switching over Multiple Regimes56 cited
  • 20088 Backward SDEs with constrained jumps and Quasi-Variational Inequalities56 cited
  • 2013Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities55 cited
  • 2010On the One-Dimensional Optimal Switching Problem55 cited
  • 2012BUY‐LOW AND SELL‐HIGH INVESTMENT STRATEGIES53 cited
  • 2008Impulse control problem on finite horizon with execution delay50 cited

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  • 2009A stochastic target formulation for optimal switching problems in finite horizon50 cited
  • 2009Optimal portfolio liquidation with execution cost and risk49 cited
  • 2009Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions48 cited