Premium
The stopping and starting problem in the model with jumps
Author(s) -
Hamadene S.,
Hdhiri I.
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200701009
Subject(s) - randomness , optimal stopping , variational inequality , jump diffusion , voter model , process (computing) , mathematics , mathematical economics , diffusion , statistical physics , mathematical optimization , computer science , jump , physics , thermodynamics , statistics , quantum mechanics , operating system
We consider the problem of optimal two modes switching in finite horizon in the model with jumps. We first give a verification theorem to shape the problem and later we show that it is satisfied. Finally when randomness comes from a diffusion process we study the the associated PDI variational inequalities with inter‐connected obstacles. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)