The stopping and starting problem in the model with jumps | Zendy

Hamadene S. | Zendy; Hdhiri I. | Zendy

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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)

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